Point processes in Rust

Point processes are stochastic processes with a wide range of applications in seismology, epidemiology, or financial mathematics. They are utilized to model the arrival of random events as a function of time.

This crate provides functions to simulate point processes in Rust.

Time-dependent processes

The following time-dependent point processes have been implemented:

• Poisson point process (homogeneous and inhomogeneous, with custom function)
• Hawkes processes (exponential kernel, see [@DassiosZhao13])

The API returns the process trajectories as a vector of a struct named Events, which has the following fields: a timestamp, the current process intensity and a vector holding any children events (for processes with this property, coming soon).

Multidimensional processes

The crate provides the generalized submodule for higher-dimensional processes.

Examples

To run the examples, do for instance

bash cargo run --example variable_poisson

Some examples display a plot using gnuplot with SiegeLord's RustGnuplot.

On Windows (see issue here), cargo run is broken. You can grab a plot with:

bash gnuplot -p < test.gnuplot

The examples show how to use the API.