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 time-dependent marked Hawkes process with an exponential kernel by utilising the O(n) algorithm in Dassios and Zhao's 2013 paper. This will borrow and consume the given jumps iterator, and will panic if it turns up empty. index 0: timestamps, index 1: intensity, index 2: marks
poisson_process	Simulate a homogeneous, constant-intensity Poisson process. index 0: timestamps
variable_poisson	Simulate a Poisson process with variable intensity.