@book{0499e1e0278c11db8514000ea68e967b,
title = "Perfect simulation of Hawkes processes",
abstract = "This article concerns a perfect simulation algorithm for unmarked and marked Hawkes processes. The usual stratihtforward simulation algorithm suffers from edge effects, whereas our perfect simulation algorithm does not. By viewing Hawkes processes as Poisson cluster processes and using their branching and conditional independence structure, useful approximations of the distribution function for the length of a cluster are derived. This is used to construct upper and lower processes for the perfect simulation algorithm. Examples of applications and empirical results are presented.",
keywords = "approximate simulation, edge effects, Hawkes process, perfect simulation, point processes, poisson cluster processes",
author = "Jesper M{\o}ller and Rasmussen, {Jakob Gulddahl}",
year = "2004",
language = "English",
series = "Research Report Series",
number = "R-2004-18",
publisher = "Department of Mathematical Sciences, Aalborg University",
}