Jesper Møller and Jacob G . Rasmussen : Perfect Simulation of Hawkes Processes
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چکیده
This article concerns a perfect simulation algorithm for unmarked and marked Hawkes processes. The usual straightforward simulation algorithm suffers from edge effects, whereas our perfect simulation algorithm does not. By viewing Hawkes processes as Poisson cluster processes and using their branching and conditional independence structure, useful approximations of the distribution function for the length of a cluster are derived. This is used to construct upper and lower processes for the perfect simulation algorithm. Examples of applications and empirical results are presented.
منابع مشابه
Jesper Møller and Jakob G . Rasmussen
This article concerns a simulation algorithm for unmarked and marked Hawkes processes. The algorithm suffers from edge effects but is much faster than the perfect simulation algorithm introduced in our previous work [12]. We derive various useful measures for the error committed when using the algorithm, and we discuss various empirical results for the algorithm compared with perfect simulations.
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تاریخ انتشار 2004