Simulate a Hawkes process

Versione 1.0.0.0 (26,1 KB) da Dimitri Shvorob
(and visualize it)
3.0
(2)
3,2K download
Aggiornato 4 apr 2016

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The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presents
a) a calculation of point-time intensities for constituent series of a multivariate process;

b) a plotting function visualizing intensity dynamics and event occurrences of a multivariate process;

c) a *univariate* process simulator, based on Algorithm 1 of Bravaccino (2004, p. 80). A multivariate simulator is desired, and collaboration is enthusiastically welcomed.

Cita come

Dimitri Shvorob (2025). Simulate a Hawkes process (https://www.mathworks.com/matlabcentral/fileexchange/17983-simulate-a-hawkes-process), MATLAB Central File Exchange. Recuperato .

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hawkes/

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Versione Pubblicato Note della release
1.0.0.0

BSD
cosmetic revision