| simHawkes0 {IHSEP} | R Documentation |
Simulate a Hawkes process, or Self-exciting point process
Description
Simulate an (inhomogeneous) self-exciting process with given background intensity and excitation/fertility function.
Usage
simHawkes0(nu, g, cens = 1,
nuM=max(optimize(nu,c(0,cens),maximum=TRUE)$obj,nu(0),nu(cens))*1.1,
gM=max(optimize(g,c(0,cens),maximum=TRUE)$obj, g(0),g(cens))*1.1)
Arguments
nu |
A (vectorized) function. The baseline intensity function. |
g |
A (vectorized) function. The excitation function. |
cens |
A scalar. The censoring time, or the time of termination of observations. |
nuM |
A scalar. The maximum time of the baseline intensity from 0 to |
gM |
A scalar. The maximum time of the excitation function from 0 to |
Details
The function works by simulating the birth times generation by
generation according to inhomegenous Poisson processes with
appropriate intensity functions (\nu or g).
Value
A list of vectors of arrival/birth times of individuals/events of generations 0, 1, ....
Note
Same algorithm as in simHawkes1, though the latter might be
more succinct and (very slightly) faster.
Author(s)
Feng Chen <feng.chen@unsw.edu.au>
See Also
simHawkes1
Examples
asepp <- simHawkes0(nu=function(x)200*(2+cos(2*pi*x)),nuM=600,
g=function(x)8*exp(-16*x),gM=8)