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X-DataInitiative / tick

Module for statistical learning, with a particular emphasis on time-dependent modelling
https://x-datainitiative.github.io/tick/
BSD 3-Clause "New" or "Revised" License
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Simulation of Marked Hawkes processes #388

Open DaniMuzi opened 5 years ago

DaniMuzi commented 5 years ago

Hi, and thank you for the tick package.

My impression is that it is not possible to simulate a marked Hawkes process. I have carefully been looking to the SimuHawkes class, and I can't really find a way to add marks to the simulation or to ask for a mark distribution to be sampled. Is my impression correct?

P.s. I haven't been looking with the same attention to SimuHawkesExpKernels and SumHawkesSumExpKernels but I need a power law kernel so they wouldn't help me that much.

Mbompr commented 5 years ago

Hi, Indeed, marked Hawkes process are not supported in tick yet. It is probably not too complicated to add this into the simulation tough. We welcome pull request if you would be interested in this, otherwise I don't see another way to simulate some with tick.

MojtabaHayati commented 4 years ago

I also need a package for marked hawkes processes parametric estimation. Are there any other packages or codes?

Mbompr commented 4 years ago

Sadly not that I am aware of. If you find one don't hesitate to mention it here.

miketrimmel commented 4 years ago

I would also highly need a tick implementation for a marked case. This mighty be a starting point but I´m not sure if it matches the criteria to be added to tick.

https://github.com/mossadnik/hawkes-process/tree/master/hawkes