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.
The following time-dependent point processes have been implemented within the
- Poisson point process (homogeneous and inhomogeneous, with custom function)
- Exponential-kernel Hawkes processes, using a linear-time simulation algorithm (both constant and variable background intensities supported)
generalized module provides functions for higher-dimensional processes.
For now, only Poisson processes have been implemented.
estimators module provides estimator routines for point process statistics such as the intensity.
An Python wrapper crate is available in the
Run the examples with for instance
cd lib/ cargo run --example variable_poisson
Some will produce SVG image files in the
The examples show how to use the API.
They require the
plotters crate for plotting.
To compile the Rust library, do
cd lib/ cargo build
To build the Python library,
cd pylib/ cargo build --release
Warning on macOS, you might need to add the following to
~/.cargo/config (see PyO3's README):
[target.x86_64-apple-darwin] rustflags = [ "-C", "link-arg=-undefined", "-C", "link-arg=dynamic_lookup", ]
or linking with the C compiler will fail.
To compile both crates at the same time, just do