Marked hawkes #64
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Marked hawkes #64
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- `HawkesProcess` - `UnivariateHawkesProcess` - `MultivariateHawkesProcess`
Everything else still not implemented.
JoseKling
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…ensityof` Implemented the intensity functions and corresponding tests.
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Implementing marked and multivariate Hawkes processes
Because of the increased complexity, I don't think there is a way to keep everything in a single type, like with Poisson processes, but still trying to follow as best as I can. I am keeping consistent with the implementation of
History, where unmarked univariate histories have marksnothingand multivariate histories have integer marks.For now, I am considering multivariate mutually exciting processes and univariate processes where marks affect the jump size. All with exponential kernel.
Ideas for improvement or generalization welcome.