Abstract
The usual straightforward simulation algorithm for (marked or unmarked) Hawkes processes suffers from edge effect. In this note we describe a perfect simulation algorithm which is partly derived as in Brix and Kendall (2002) and partly using upper and lower processes as in the Propp-Wilson algorithm (1996), or rather as in the dominated CFTP algorithm by Kendall and Moller (2000). Various monotonicity properties and approximations of the cumulative distribution function for the length of a so-called cluster in a marked Hawkes process play an important role.
| Original language | English |
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| Title of host publication | Proceeding from the international conference on Spatial Point Process Modelling and Its Applications |
| Editors | Baddeley, Gregori, Mateu, Stoica, Stoyan |
| Publisher | Publicacions de la Universitat Jaume I |
| Publication date | 2004 |
| Pages | 187-192 |
| ISBN (Print) | 8480214759 |
| Publication status | Published - 2004 |
| Event | International Conference on Spatial Point Process Modelling and Its Applications - Duration: 19 May 2010 → … |
Conference
| Conference | International Conference on Spatial Point Process Modelling and Its Applications |
|---|---|
| Period | 19/05/2010 → … |
Keywords
- marked Hawkes process
- perfect simulation