Simulate a Hawkes process

(and visualize it)

You are now following this Submission

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

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
Version Published Release Notes Action
1.0.0.0

BSD
cosmetic revision