• Corpus ID: 220495915

Perfect Sampling of Multivariate Hawkes Process

@article{Chen2020PerfectSO,
  title={Perfect Sampling of Multivariate Hawkes Process},
  author={Xinyun Chen and Xiuwen Wang},
  journal={arXiv: Applications},
  year={2020}
}
As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate i.i.d. stationary sample paths of multivariate Hawkes process without any transient bias. In addition, we provide an explicit expression of algorithm complexity in model and algorithm parameters and provide numerical schemes to find the optimal parameter set… 
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