An Algorithm for the Computation of Joint Hawkes Moments with Exponential Kernel
نویسندگان
چکیده
The purpose of this paper is to present a recursive algorithm and its implementation in Maple Mathematica for the computation joint moments cumulants Hawkes processes with exponential kernels. Numerical results times are also discussed. Obtaining closed form expressions can be computationally intensive, as fifth cumulant moment formulas respectively expanded into up 3,288 27,116 summands.
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ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 2022
ISSN: ['2188-4730']
DOI: https://doi.org/10.5687/sss.2022.72