def test_hawkes_negative_intensity_fail(self):
"""...Test simulation with negative kernel without threshold_negative_intensity
"""
run_time = 40
hawkes = SimuHawkes(n_nodes=1, end_time=run_time, verbose=False,
seed=1398)
kernel = HawkesKernelExp(-1.3, .8)
hawkes.set_kernel(0, 0, kernel)
hawkes.set_baseline(0, 0.3)
msg = 'Simulation stopped because intensity went negative ' \
'\(you could call ``threshold_negative_intensity`` to allow it\)'
with self.assertRaisesRegex(RuntimeError, msg):
hawkes.simulate()
def generate_points(n_processes, mu, alpha, decay, window, seed, dt=0.01):
"""
Generates points of an marked Hawkes processes using the tick library
"""
hawkes = SimuHawkes(n_nodes=n_processes,
end_time=window,
verbose=False,
seed=seed)
for i in range(n_processes):
for j in range(n_processes):
hawkes.set_kernel(i=i,
j=j,
kernel=HawkesKernelExp(intensity=alpha[i][j] /
decay[i][j],
decay=decay[i][j]))
hawkes.set_baseline(i, mu[i])
hawkes.track_intensity(dt)
hawkes.simulate()
return hawkes.timestamps
def test_hawkes_negative_intensity(self):
"""...Test simulation with negative kernel
"""
run_time = 40
hawkes = SimuHawkes(n_nodes=1, end_time=run_time, verbose=False,
seed=1398)
kernel = HawkesKernelExp(-1.3, .8)
hawkes.set_kernel(0, 0, kernel)
hawkes.set_baseline(0, 0.3)
hawkes.threshold_negative_intensity()
dt = 0.1
hawkes.track_intensity(dt)
hawkes.simulate()
self.assertAlmostEqual(hawkes.tracked_intensity[0].min(), 0)
self.assertAlmostEqual(hawkes.tracked_intensity[0].max(),
hawkes.baseline[0])
self.assertGreater(hawkes.n_total_jumps, 1)
# intensity_times = hawkes.intensity_tracked_times # mean_intensity = hawkes.mean_intensity() # %% Plot jumps # pd.Series(np.arange(1, len(timestamps[0])+1), # index=timestamps[0]).plot(drawstyle='steps-post') # %% Plot point express # plot_point_process(hawkes) # %% [markdown] # ### SimuHawkesMulti # %% Simulate with Multi hawkes_m1 = SimuHawkes(n_nodes=1, end_time=10000) hawkes_m1.set_baseline(0, 1.) hawkes_m2 = SimuHawkes(n_nodes=1, end_time=10000) hawkes_m2.set_baseline(0, 1.) hawkes_m1.set_kernel(0, 0, kernel_1) hawkes_m2.set_kernel(0, 0, kernel_2) # %% Run Multi multi_1 = SimuHawkesMulti(hawkes_m1, n_simulations=100) multi_1.simulate() multi_2 = SimuHawkesMulti(hawkes_m2, n_simulations=100) multi_2.simulate() # %% Get attributes from Multi
""" 1 dimensional Hawkes process simulation ======================================= """ from tick.plot import plot_point_process from tick.hawkes import SimuHawkes, HawkesKernelSumExp import matplotlib.pyplot as plt run_time = 40 hawkes = SimuHawkes(n_nodes=1, end_time=run_time, verbose=False, seed=1398) kernel = HawkesKernelSumExp([.1, .4, .1, .3], [3., 3., 7., 31]) hawkes.set_kernel(0, 0, kernel) hawkes.set_baseline(0, 1.) dt = 0.01 hawkes.track_intensity(dt) hawkes.simulate() timestamps = hawkes.timestamps intensity = hawkes.tracked_intensity intensity_times = hawkes.intensity_tracked_times _, ax = plt.subplots(1, figsize=(8, 4)) plot_point_process(hawkes, n_points=50000, t_min=2, max_jumps=10, ax=ax) plt.show()