Perfect simulation of Hawkes processes
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Cites work
- A cluster process representation of a self-exciting process
- An Introduction to the Theory of Point Processes
- Exact sampling with coupled Markov chains and applications to statistical mechanics
- Generalised shot noise Cox processes
- Hawkes branching point processes without ancestors
- scientific article; zbMATH DE number 4013703 (Why is no real title available?)
- scientific article; zbMATH DE number 3484308 (Why is no real title available?)
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- scientific article; zbMATH DE number 3992765 (Why is no real title available?)
- scientific article; zbMATH DE number 1912119 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- scientific article; zbMATH DE number 3413618 (Why is no real title available?)
- Maximum likelihood identification of neural point process systems
- Perfect simulation of Hawkes processes
- Perfect simulation using dominating processes on ordered spaces, with application to locally stable point processes
- Rate of convergence to equilibrium of marked Hawkes processes
- Shot noise Cox processes
- Simulation of cluster point processes without edge effects
- Space-time point-process models for earthquake occurrences
- Spectra of some self-exciting and mutually exciting point processes
- Stability of nonlinear Hawkes processes
- The total progeny in a branching process and a related random walk
Cited in
(36)- Direct Likelihood Evaluation for the Renewal Hawkes Process
- A review of self-exciting spatio-temporal point processes and their applications
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm
- Exact and approximate EM estimation of mutually exciting Hawkes processes
- Regenerative properties of the linear Hawkes process with unbounded memory
- Dynamics of macroscopic diffusion across meta-populations with top-down and bottom-up approaches: a review
- Point processes on directed linear networks
- Scalable high-resolution forecasting of sparse spatiotemporal events with kernel methods: a winning solution to the NIJ ``Real-time crime forecasting challenge
- The pair correlation function of spatial Hawkes processes
- Approximate simulation of Hawkes processes
- Modeling multivariate extreme events using self-exciting point processes
- Construction and simulation of generalized multivariate Hawkes processes
- Structural credit risk modelling with Hawkes jump diffusion processes
- Mechanistic spatio-temporal point process models for marked point processes, with a view to forest stand data
- Microscopic approach of a time elapsed neural model
- Perfect simulation with exponential tails on the running time
- Large Deviations of Poisson Cluster Processes
- Infinite systems of interacting chains with memory of variable length -- a stochastic model for biological neural nets
- Bayesian inference for Hawkes processes
- Performance of information criteria for selection of Hawkes process models of financial data
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Exact simulation of extrinsic stress-release processes
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- Hawkes processes with variable length memory and an infinite number of components
- The Hawkes process with different exciting functions and its asymptotic behavior
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- Hawkes Processes Modeling, Inference, and Control: An Overview
- Bayesian estimation of nonlinear Hawkes processes
- Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
- Conditional Uniformity and Hawkes Processes
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Exact asymptotics of ruin probabilities with linear Hawkes arrivals
- Bats monitoring: a classification procedure of bats behaviours based on Hawkes processes
- Spatio-temporal mixed membership models for criminal activity
- Lasso-type estimator and classification algorithm for high-dimensional multivariate Hawkes processes
- Exact simulation of Hawkes process with exponentially decaying intensity
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