Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays

13 Mar 2018 Kar Wai Lim Young Lee Leif Hanlen Hongbiao Zhao

We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying intensities... (read more)

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