On Lewis' simulation method for point processes
From MaRDI portal
Cited in
(only showing first 100 items - show all)- The application of linear intensity models to the investigation of causal relations between a point process and another stochastic process
- Estimation of interaction potentials of spatial point patterns through the maximum likelihood procedure
- The time-rescaling theorem and its application to neural spike train data analysis
- Comment on ``A review of self-exciting spatiotemporal point process and their applications by Alex Reinhart
- Exact simulation of the jump times of a class of piecewise deterministic Markov processes
- Mean-field limit of generalized Hawkes processes
- Self-exciting jump processes with applications to energy markets
- Sequential data assimilation for 1D self-exciting processes with application to urban crime data
- Exact and approximate EM estimation of mutually exciting Hawkes processes
- A Markov modulated dynamic contagion process with application to credit risk
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Pricing power exchange options with Hawkes jump diffusion processes
- Hawkes process and Edgeworth expansion with application to maximum likelihood estimator
- A fractional Hawkes process
- Pricing path-dependent options under the Hawkes jump diffusion process
- Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
- Fractional Hawkes processes
- Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
- Truncated Hawkes point process modeling: system theory and system identification
- Asian options pricing in Hawkes-type jump-diffusion models
- Infinitely stochastic micro reserving
- Point processes on directed linear networks
- Generalized evolutionary point processes: model specifications and model comparison
- Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
- Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
- Approximate filtering of conditional intensity process for Poisson count data: application to urban crime
- A system of interacting neurons with short term synaptic facilitation
- Modeling of spike trains in auditory nerves with self-exciting point processes of the von Mises type
- Approximate simulation of Hawkes processes
- Modeling multivariate extreme events using self-exciting point processes
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Modelling informative time points: an evolutionary process approach
- Construction and simulation of generalized multivariate Hawkes processes
- A fractional Hawkes process. II: Further characterization of the process
- Probabilistic representations of fragmentation equations
- Structural credit risk modelling with Hawkes jump diffusion processes
- Sparse estimation for generalized exponential marked Hawkes process
- Scaling limit for stochastic control problems in population dynamics
- Locally stationary Hawkes processes
- Detection of dependence patterns with delay
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- Inversion of the renewal density with dead-time
- Second-Order Residual Analysis of Spatiotemporal Point Processes and Applications in Model Evaluation
- Testing Separability in Spatial-Temporal Marked Point Processes
- Rare Event Simulation Using Reversible Shaking Transformations
- Microscopic approach of a time elapsed neural model
- Bayesian inference for Hawkes processes
- Modeling of contagious credit events and risk analysis of credit portfolios
- BISPECTRAL ANALYSIS OF RANDOMLY SAMPLED DATA
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- A slightly depressing jump model: intraday volatility pattern simulation
- Performance of information criteria for selection of Hawkes process models of financial data
- Infinite-server queues with Hawkes input
- Uncovering causality from multivariate Hawkes integrated cumulants
- Steering social activity: a stochastic optimal control point of view
- Point-process models of social network interactions: Parameter estimation and missing data recovery
- Sparse graphs using exchangeable random measures
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Poisson random fields for dynamic feature models
- Modelling systemic price cojumps with Hawkes factor models
- Re-colouring the Intensity-Based Bootstrap for Point Processes
- Gang rivalry dynamics via coupled point process networks
- Nonstationary ETAS models for nonstandard earthquakes
- Gaussian process-based Bayesian nonparametric inference of population size trajectories from gene genealogies
- Testing the causality of Hawkes processes with time reversal
- Network of interacting neurons with random synaptic weights
- Sparse and low-rank multivariate Hawkes processes
- Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
- Multivariate spatiotemporal Hawkes processes and network reconstruction
- Self-exciting jump processes and their asymptotic behaviour
- Exact simulation of extrinsic stress-release processes
- Classification of flash crashes using the Hawkes \(p,q\) framework
- State-dependent Hawkes processes and their application to limit order book modelling
- A Metric Space for Point Process Excitations
- Reducing bias in event time simulations via measure changes
- Fifty years later: new directions in Hawkes processes
- Queues driven by Hawkes processes
- Optimal market making under partial information with general intensities
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
- The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
- Scalable inference for space-time Gaussian Cox processes
- Multiple tests based on a Gaussian approximation of the unitary events method with delayed coincidence count
- A test for independence between a point process and an analogue signal
- Simulations of Some Doubly Stochastic Poisson Point Processes
- Generation of Synthetic Spike Trains with Defined Pairwise Correlations
- Modelling microstructure noise with mutually exciting point processes
- The Malliavin-Stein method for Hawkes functionals
- Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
- MCMC for normalized random measure mixture models
- Assessment of point process models for earthquake forecasting
- Electricity Intraday Price Modelling with Marked Hawkes Processes
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- Hawkes Processes Modeling, Inference, and Control: An Overview
- Robust algorithms for simulating spatial cluster processes
- Nostradamus: a novel event propagation prediction approach with spatio-temporal characteristics in non-Euclidean space
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Efficient Simulation of Sparse Graphs of Point Processes
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
This page was built for publication: On Lewis' simulation method for point processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3896311)
