arXiv 22 Jul 2019 · Econometrics · 1 citations (OpenAlex)
arXiv:1907.09162 · PDF · DOI · OpenAlex · Extracted main text
Several methods have been developed for the simulation of the Hawkes process. The oldest approach is the inverse sampling transform (ITS) suggested in \citep{ozaki1979maximum}, but rapidly abandoned in favor of more efficient alternatives. This manuscript shows that the ITS approach can be conveniently discussed in terms of Lambert-W functions. An optimized and efficient implementation suggests that this approach is computationally more performing than more recent alternatives available for the simulation of the Hawkes process.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ozaki, T (1979) Maximum likelihood estimation of hawkes' self-exciting point processes | 1.000 | 21 | 6 | 100% |
| 2 | Ogata, Y (1981) On lewis' simulation method for point processes | 1.000 | 7 | 3 | 100% |
| 3 | Lewis, P. W. and Shedler, G. S (1979) Simulation of nonhomogeneous poisson processes by thinning | 0.928 | 4 | 3 | 100% |
| 4 | Dassios, A., Zhao, H., et al (2013) Exact simulation of hawkes process with exponentially decaying intensity | 0.874 | 6 | 2 | 100% |
| 5 | Hawkes, A. G. and Oakes, D (1974) A cluster process representation of a self-exciting process | 0.737 | 3 | 2 | 100% |
| 6 | Mller, J. and Rasmussen, J. G (2005) Perfect simulation of hawkes processes | 0.644 | 2 | 2 | 100% |
| 7 | Mller, J. and Rasmussen, J. G (2006) Approximate simulation of hawkes processes | 0.644 | 2 | 2 | 100% |
| 8 | Ogata, Y (1998) Space-time point-process models for earthquake occurrences | 0.405 | 1 | 1 | 100% |
| 9 | Veberic, D (2010) Having fun with lambert w (x) function | 0.405 | 1 | 1 | 100% |
Showing the top 9 of 9 scored citations.