Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
arxiv(2024)
摘要
This paper presents an algorithm for the simulation of Hawkes-type processes
where the intensity is expressed in terms of a continuous-time autoregressive
moving average model. We identify upper bounds for both the univariate and the
multivariate intensity functions that are used to develop simulation algorithms
based on the thinning technique.
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