Simulation Methods

Patrick J. Laub, Young Lee and Thomas Taimre
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Patrick J. Laub: University of Melbourne, Faculty of Business and Economics
Young Lee: Harvard University, Faculty of Arts and Sciences
Thomas Taimre: The University of Queensland, School of Mathematics and Physics

Chapter Chapter 4 in The Elements of Hawkes Processes, 2021, pp 27-34 from Springer

Abstract: Abstract Simulation is an increasingly indispensable tool in probability modelling. Here, we give details of four fundamental approaches to producing realisations of Hawkes processes.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-84639-8_4

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DOI: 10.1007/978-3-030-84639-8_4

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