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arXiv · 2402.03275

Simulation thinning algorithm for a CARMA(p,q)-Hawkes model

Lorenzo Mercuri·Andrea Perchiazzo·Edit Rroji
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Abstract

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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Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji. 2025-06-09. Simulation thinning algorithm for a CARMA(p,q)-Hawkes model. https://arxiv.org/abs/2402.03275

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