inhomogeneous Poisson processes

[slwu89]

Hi @gdalle!

I'm interested in using this package to work with inhomogeneous Poisson processes but I didn't see a definition in the source. Is this something that would be relatively straightforward to implement? I'm happy to work on a PR for this if you think it would be a good idea, with some guidance regarding the design of the package. Thanks.

[gdalle]

Hi!
You're right, it's not in the package yet but it would definitely belong here. Happy toereview a PR if you want to give it a shot.
In the current state it's possible to design a minimal implementation and use the built-in fallbacks for simulation and inference. In all generality I'm not sure we can do better than Ogata's algorithm for simulation (which boils down to thinning for processes that forget the past), but the learning bit would be interesting to implement!