Simulate a Hawkes process 1.0

Date Added: July 07, 2013 | Visits: 249

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The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presentsa) 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

Requirements: No special requirements

Platforms: Matlab

Keyword: Based, Dynamics, Enthusiastically, Event, Function, Intensity, Occurrences, Simulator, Univariate, Visualizing

Users rating: 0/10

License: Shareware

Size: 30.72 KB

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