Perfect Simulation of Hawkes Processes

@inproceedings{Mller2004PerfectSO,
  title={Perfect Simulation of Hawkes Processes},
  author={Jesper M\oller and J. Rasmussen},
  year={2004}
}
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 the length of a cluster are derived. This is used to construct upper and lower processes for the… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.
30 Citations
24 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 24 references

A cluster representation of a self-exciting process

  • A. G. Hawkes, D. Oakes
  • J. Appl. Prob
  • 1974
Highly Influential
5 Excerpts

Perfect simulation using dominating processes on ordered spaces, with application to locally stable point processes

  • W. S. Kendall, J. Møller
  • Adv. Appl. Prob
  • 2000
Highly Influential
4 Excerpts

Spatial Hawkes processes

  • J. Møller, G. L. Torrisi
  • In preparation
  • 2004
1 Excerpt

Statistical Inference and Simulation for Spatial Point Processes

  • J. Møller, R. P. Waagepetersen
  • J. MØLLER & J. G. RASMUSSEN
  • 2004
1 Excerpt

Shot noise Cox processes

  • J. Møller
  • Adv. Appl. Prob
  • 2003
1 Excerpt

Similar Papers

Loading similar papers…