pc_hawkessim-class {eNchange}

A method to simulate nonstationary Hawkes models.

Description

A S4 method that takes as an input a simHawkes object and outputs a simulated nonstationary Hawkes model. The formulation of the of the piecewise constant ACD model is given in the simHawkes class.

Usage

pc_hawkessim(object)

## S4 method for signature 'simHawkes'
pc_hawkessim(object)

Arguments

object

a simHawkes object

Value

Returns an object of simHawkes class containing a simulated piecewise constant Hawkes series.

References

Korkas Karolos. "Ensemble Binary Segmentation for irregularly spaced data with change-points" <arXiv:2003.03649>.

Examples

pw.hawk.obj <- new("simHawkes")
[e-mail] <- c(0.5)
pw.hawk.obj@lambda_0 <- c(1,2)
pw.hawk.obj@alpha <- c(0.2,0.2)
pw.hawk.obj@beta <- c(0.7,0.7)
pw.hawk.obj@horizon <- 1000
pw.hawk.obj <- pc_hawkessim(pw.hawk.obj)
ts.plot(pw.hawk.obj@H)
ts.plot(pw.hawk.obj@cH)