simHawkes1a {IHSEP} | R Documentation |
Simulate an (inhomogeneous) Hawkes self-exciting process
simHawkes1a
simulates the event times of an inhomogeneous
Hawkes process (IHSEP) with background event intensity/rate
nu(\cdot)\geq 0
, branching ratio \eta\in[0,1)
, and
offspring birthtime density g(\cdot)
, up to a censoring time
T
.
Description
Simulate an (inhomogeneous) Hawkes self-exciting process
simHawkes1a
simulates the event times of an inhomogeneous
Hawkes process (IHSEP) with background event intensity/rate
nu(\cdot)\geq 0
, branching ratio \eta\in[0,1)
, and
offspring birthtime density g(\cdot)
, up to a censoring time
T
.
Usage
simHawkes1a(
nu = function(x) rep(100, length(x)),
cens = 1,
nuM = max(optimize(nu, c(0, cens), maximum = TRUE)$obj, nu(0), nu(cens),
.Machine$double.eps^0.5) * 1.1,
br = 0.5,
dis = "exp",
par.dis = list(rate = 1)
)
Arguments
nu |
a function, which gives the background event intensity
function |
cens |
a positive scalar, which gives the censoring time. |
nuM |
positive scalar, optional argument giving the maximum
of the background intensity function on |
br |
scalar in [0,1), giving the branching ratio. |
dis |
character string giving the name of the child birthtime
distribution; 'd$dis' gives the density function |
par.dis |
a (named) list giving the values of the parameters of the child birthtime distribution. |
Value
a vector giving the event times of an inhomogeneous Hawkes process up to the censoring time in ascending order.