Simulate a Hawkes process

版本 1.0.0.0 (26.1 KB) 作者: Dimitri Shvorob
(and visualize it)
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更新时间 2016/4/4

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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.

引用格式

Dimitri Shvorob (2024). Simulate a Hawkes process (https://www.mathworks.com/matlabcentral/fileexchange/17983-simulate-a-hawkes-process), MATLAB Central File Exchange. 检索时间: .

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1.0.0.0

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