Approximate Simulation of Hawkes Processes
نویسندگان
چکیده
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.
منابع مشابه
Jesper Møller and Jacob G . Rasmussen : Perfect Simulation of Hawkes Processes
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...
متن کاملPerfect Simulation of Hawkes Processes
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...
متن کاملSimulation , Estimation and Applications of Hawkes Processes
Hawkes processes are a particularly interesting class of stochastic processes that were introduced in the early seventies by A. G. Hawkes, notably to model the occurrence of seismic events. Since then they have been applied in diverse areas, from earthquake modeling to financial analysis. The processes themselves are characterized by a stochastic intensity vector, which represents the condition...
متن کاملA Tutorial on Hawkes Processes for Events in Social Media
This chapter provides an accessible introduction for point processes, and especially Hawkes processes, for modeling discrete, inter-dependent events over continuous time. We start by reviewing the definitions and the key concepts in point processes. We then introduce the Hawkes process, its event intensity function, as well as schemes for event simulation and parameter estimation. We also descr...
متن کاملA Risk Surplus Model using Hawkes Point Processes
In this thesis we define a Hawkes process with exponential decay that later on is used in an application to insurance. We have also applied a simulation algorithm for the Hawkes process that are able to model cluster arrival of claims. In the classical risk model one uses a homogeneous Poisson process to model the arrival of claims which is not realistic. What is most crucial for an insurance c...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2004