Hawkes Simulation

Version 1.0.2 (5,02 ko) par Riccardo Brignone
This file contains code for exact simulation of Hawkes processes with exponential kernel.
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Mise à jour 29 mars 2020

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The file contains four different functions allowing to simulate exactly an Hawkes process with exponential kernel. Methodologies implemented are:

1) Euler scheme
2) Ogata's modified thinning algorithm
3) Daley and Vere-Jones modified thinning algorithm
4) Dassios and Zhao exact simulation

A script is also provided as example.

Citation pour cette source

Riccardo Brignone and Luca Gonzato (2020). Hawkes Simulation (https://www.mathworks.com/matlabcentral/fileexchange/74738), MATLAB Central File Exchange. Retrieved March 27, 2020.

Compatibilité avec les versions de MATLAB
Créé avec R2020a
Compatible avec toutes les versions
Plateformes compatibles
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Version Publié le Notes de version
1.0.2

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1.0.1

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1.0.0