Module pointprocesses::timedependent

This module implements a set of time-dependent point processes, such as Poisson or Hawkes processes, on the real half-line [0,∞[.

Functions

hawkes_exponential	Simulate a Hawkes process with an exponential kernel by utilising the linear time-complexity algorithm in Dassios and Zhao's 2013 paper. Returns the intensity process. This will borrow and consume the given jumps iterator, and will panic if it turns up empty.
poisson_process	Simulates a homogeneous, constant-intensity Poisson process.
variable_poisson	Simulate a Poisson process with variable intensity.