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Re: Simulating uni-dimensional Hawkes processes

by frozenwithjoy (Priest)
on Feb 18, 2013 at 04:13 UTC ( #1019270=note: print w/replies, xml ) Need Help??

in reply to Simulating uni-dimensional Hawkes processes

Can you give us both the expected and the actual outputs for a set of "random" numbers? Thanks.
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Re^2: Simulating uni-dimensional Hawkes processes
by glrm_master (Initiate) on Feb 18, 2013 at 19:36 UTC

    Hi forzenwithjoy, and thanks for your time!

    I'm not sure I understand what you are asking me for. The code is supposed to generate a sequence of "arrival times" that are supposed to be produced by a self-exciting point process with lambda as its intensity function... in order to do so, i generate some arrival times and then perform an Acceptance/Rejection of sorts that will drop some of them (with a certain probability) and generate new ones... i usually let the loop run about 10,000 or 50,000 times and than feed the generated arrival times into MLE estimation to get "back" the values of my 3 parameters: alpha, beta and lambda0 (the base intensity)... for beta and alpha i get very cloes MLE estimates while the estimate for lambda0 is ALWAYS well off... this is my problem... what kind of outputs would you like me to show you??

    thanks a lot for your help! take care!


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