Perfect Sampling of Multivariate Hawkes Process

arXiv2007.05940MaRDI QIDQ6344906FDOQ6344906

Authors: Xinyun Chen, Xiuwen Wang 

Publication date: 12 July 2020

Abstract: As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate i.i.d. stationary sample paths of multivariate Hawkes process without any transient bias. In addition, we provide an explicit expression of algorithm complexity in model and algorithm parameters and provide numerical schemes to find the optimal parameter set that minimizes the complexity of the perfect sampling algorithm.

This page was built for publication: Perfect Sampling of Multivariate Hawkes Process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6344906)