Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Fuente:
arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866909641830563840 |
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| author | Mercuri, Lorenzo Perchiazzo, Andrea Rroji, Edit |
| author_facet | Mercuri, Lorenzo Perchiazzo, Andrea Rroji, Edit |
| contents | This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the multivariate intensity functions that are used to develop simulation algorithms based on the thinning technique. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_03275 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Simulation thinning algorithm for a CARMA(p,q)-Hawkes model Mercuri, Lorenzo Perchiazzo, Andrea Rroji, Edit Computation This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the multivariate intensity functions that are used to develop simulation algorithms based on the thinning technique. |
| title | Simulation thinning algorithm for a CARMA(p,q)-Hawkes model |
| topic | Computation |
| url | https://arxiv.org/abs/2402.03275 |