Point processes in Rust
Point processes are stochastic processes with a wide range of applications in seismology, epidemiology, or financial mathematics. They are utilized to model the arrival of random events as a function of time.
This crate provides functions to simulate point processes in Rust.
Time-dependent processes
The following time-dependent point processes have been implemented:
- Poisson point process (homogeneous and inhomogeneous, with custom function)
- Hawkes processes (exponential kernel, see @DassiosZhao13)
The API returns the process trajectories as a vector of a struct
named Events
, which has the following fields: a timestamp, the current process intensity and a vector holding any children events (for processes with this property, coming soon).
Multidimensional processes
The crate provides the generalized
submodule for higher-dimensional processes.
For now, only homogeneous Poisson processes have been implemented with a function
which takes a reference to a measurable domain, that is a subset of d-dimensional space that is measurable, implemented with the Measurable
trait (see API docs), and returns a 2-dimensional array which is a set of point events in d-dimensional space falling into the domain.
Examples
To run the examples, do for instance
Some examples display a plot using gnuplot with SiegeLord's RustGnuplot.
On Windows (see issue here), cargo run
is broken. You can grab a plot with:
The examples show how to use the API.