Module pointprocesses::timedependent

This module implements a set of time-dependent point processes, such as Poisson or Hawkes processes, on the real half-line R^+.

Functions

hawkes_exponential	Simulate a Hawkes process with an exponential kernel by utilising the linear time-complexity algorithm in DassiosZhao13. Returns the intensity process. Will consume the jumps iterator supplied !
poisson_process	Simulates a homogeneous, constant-intensity Poisson process.
variable_poisson	Simulate a Poisson process with variable intensity.