On Lewis' simulation method for point processes
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(only showing first 100 items - show all)- Bootstrap and permutation tests of independence for point processes
- Mean-field limit of generalized Hawkes processes
- SimHawNet: a modified Hawkes process for temporal network simulation
- Scalable inference for space-time Gaussian Cox processes
- Queues driven by Hawkes processes
- Doubly time-dependent Hawkes process and applications in failure sequence analysis
- Estimating product cannibalisation in wholesale using multivariate Hawkes processes with inhibition
- Re-colouring the Intensity-Based Bootstrap for Point Processes
- Fractional Hawkes processes
- A test for independence between a point process and an analogue signal
- A system of interacting neurons with short term synaptic facilitation
- A neural network based model for multi-dimensional non-linear Hawkes processes
- Structural credit risk modelling with Hawkes jump diffusion processes
- Modeling multivariate extreme events using self-exciting point processes
- Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
- Self-exciting jump processes and their asymptotic behaviour
- Exact and approximate EM estimation of mutually exciting Hawkes processes
- Infinite-server queues with Hawkes input
- Rate estimation in partially observed Markov jump processes with measurement errors
- Modelling microstructure noise with mutually exciting point processes
- Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Simulations of Some Doubly Stochastic Poisson Point Processes
- Second-Order Residual Analysis of Spatiotemporal Point Processes and Applications in Model Evaluation
- Testing the causality of Hawkes processes with time reversal
- Bayesian inference for Hawkes processes
- Self-exciting jump processes with applications to energy markets
- Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
- Poisson random fields for dynamic feature models
- Infinitely stochastic micro reserving
- Multivariate Hawkes processes with spatial covariates for spatiotemporal event data analysis
- Bootstrap inference for Hawkes and general point processes
- Uncovering causality from multivariate Hawkes integrated cumulants
- Nonlinear partial differential equations in neuroscience: from modeling to mathematical theory
- Comment on ``A review of self-exciting spatiotemporal point process and their applications by Alex Reinhart
- Multivariate quadratic Hawkes processes—part I: theoretical analysis
- Sparse and low-rank multivariate Hawkes processes
- Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
- Network of interacting neurons with random synaptic weights
- A fractional Hawkes process for illiquidity modeling
- Generalized evolutionary point processes: model specifications and model comparison
- A stochastic model for the early stages of highly contagious epidemics by using a state-dependent point process
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Construction and simulation of generalized multivariate Hawkes processes
- A fractional Hawkes process model for earthquake aftershock sequences
- Efficient Simulation of Sparse Graphs of Point Processes
- Sparse graphs using exchangeable random measures
- Testing Separability in Spatial-Temporal Marked Point Processes
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Hawkes Processes Modeling, Inference, and Control: An Overview
- Robust algorithms for simulating spatial cluster processes
- Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
- Steering social activity: a stochastic optimal control point of view
- Generation of Synthetic Spike Trains with Defined Pairwise Correlations
- Nostradamus: a novel event propagation prediction approach with spatio-temporal characteristics in non-Euclidean space
- Pricing power exchange options with Hawkes jump diffusion processes
- Multiple tests based on a Gaussian approximation of the unitary events method with delayed coincidence count
- State-dependent Hawkes processes and their application to limit order book modelling
- Inversion of the renewal density with dead-time
- A Markov modulated dynamic contagion process with application to credit risk
- Microscopic approach of a time elapsed neural model
- Multivariate spatiotemporal Hawkes processes and network reconstruction
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Exact simulation of the jump times of a class of piecewise deterministic Markov processes
- Fifty years later: new directions in Hawkes processes
- A self-exciting marked point process model for drought analysis
- Electricity Intraday Price Modelling with Marked Hawkes Processes
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
- Point processes on directed linear networks
- Reducing bias in event time simulations via measure changes
- BISPECTRAL ANALYSIS OF RANDOMLY SAMPLED DATA
- Gaussian process-based Bayesian nonparametric inference of population size trajectories from gene genealogies
- Rare Event Simulation Using Reversible Shaking Transformations
- Multivariate representations of univariate marked Hawkes processes
- Hawkes process and Edgeworth expansion with application to maximum likelihood estimator
- Hawkes process modelling for chemical reaction networks in a random environment
- Optimal market making under partial information with general intensities
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Residual analysis methods for space-time point processes with applications to earthquake forecast models in California
- Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
- A fractional Hawkes process
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Modelling informative time points: an evolutionary process approach
- Approximate simulation of Hawkes processes
- Sequential data assimilation for 1D self-exciting processes with application to urban crime data
- The time-rescaling theorem and its application to neural spike train data analysis
- Modeling of spike trains in auditory nerves with self-exciting point processes of the von Mises type
- Normal approximation of compound Hawkes functionals
- The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience
- Nonstationary ETAS models for nonstandard earthquakes
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Asian options pricing in Hawkes-type jump-diffusion models
- Truncated Hawkes point process modeling: system theory and system identification
- Space-time inhomogeneous background intensity estimators for semi-parametric space-time self-exciting point process models
- Estimation for multistate models subject to reporting delays and incomplete event adjudication with application to disability insurance
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