Perfect Sampling of Multivariate Hawkes Process
Applications
2020-11-12 v2 Probability
Abstract
As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate i.i.d. stationary sample paths of multivariate Hawkes process without any transient bias. In addition, we provide an explicit expression of algorithm complexity in model and algorithm parameters and provide numerical schemes to find the optimal parameter set that minimizes the complexity of the perfect sampling algorithm.
Keywords
Cite
@article{arxiv.2007.05940,
title = {Perfect Sampling of Multivariate Hawkes Process},
author = {Xinyun Chen and Xiuwen Wang},
journal= {arXiv preprint arXiv:2007.05940},
year = {2020}
}