Simulate a Hawkes process

(and visualize it)
Updated 4 Apr 2016

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The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presents
a) a calculation of point-time intensities for constituent series of a multivariate process;

b) a plotting function visualizing intensity dynamics and event occurrences of a multivariate process;

c) a *univariate* process simulator, based on Algorithm 1 of Bravaccino (2004, p. 80). A multivariate simulator is desired, and collaboration is enthusiastically welcomed.

Cite As

Dimitri Shvorob (2024). Simulate a Hawkes process (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006a
Compatible with any release
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cosmetic revision