On Lewis' simulation method for point processes.

View Researcher's Other Codes

Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).

Please contact us in case of a broken link from here

Authors Y. Ogata
Journal/Conference Name IEEE Transactions on Information Theory
Paper Category
Paper Abstract A simple and efficient method of simulation is discussed for point processes that are specified by their conditional intensities. The method is based on the thinning algorithm which was introduced recently by Lewis and Shedler for the simulation of nonhomogeneous Poisson processes. Algorithms are given for past dependent point processes containing multivariate processes. The simulations are performed for some parametric conditional intensity functions, and the accuracy of the simulated data is demonstrated by the likelihood ratio test and the minimum Akaike information criterion (AIC) procedure.
Date of publication 2004
Code Programming Language Matlab

Copyright Researcher 2022