The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presents
a) a calculation of point-time intensities for constituent series of a multivariate process;
b) a plotting function visualizing intensity dynamics and event occurrences of a multivariate process;
c) a *univariate* process simulator, based on Algorithm 1 of Bravaccino (2004, p. 80). A multivariate simulator is desired, and collaboration is enthusiastically welcomed.
Citation pour cette source
Dimitri Shvorob (2026). Simulate a Hawkes process (https://fr.mathworks.com/matlabcentral/fileexchange/17983-simulate-a-hawkes-process), MATLAB Central File Exchange. Extrait(e) le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxCatégories
- AI and Statistics > Statistics and Machine Learning Toolbox > Descriptive Statistics and Visualization >
Tags
Découvrir Live Editor
Créez des scripts avec du code, des résultats et du texte formaté dans un même document exécutable.
| Version | Publié le | Notes de version | |
|---|---|---|---|
| 1.0.0.0 | BSD
|
