Description Usage Arguments Details Value Author(s) See Also
Computes the intensity, or rate, for the non-linear multivariate Hawkes process at a given time point given a history of points.
1 2 |
t |
a |
T |
a |
h |
a |
predict |
a |
Delta |
a |
beta0 |
a |
phi |
a |
warn |
a |
... |
additional arguments |
The hawkesRate
function computes
phi(beta0_k + sum_k int_0^{t-} h^{mk}(t-s) dN_s^k)
if predict = TRUE
. It is an error to allow for event times in the history that
don't strictly preceed t
when predict = TRUE
. If predict = FALSE
equality is allowed. The latter option is used to compute bounds on the intensity until the next
event occurs, which in turn is used in Ogatas thinning algorithm.
A numeric
vector.
Niels Richard Hansen, Niels.R.Hansen@math.ku.dk
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