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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 (2026). Simulate a Hawkes process (https://se.mathworks.com/matlabcentral/fileexchange/17983-simulate-a-hawkes-process), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (26.1 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | BSD
|
