The DOI matches its Crossref record; 8 of the 8 references it cites were found in a registry or an index.
On Lewis' simulation method for point processes
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.
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Citations
Cites
Spectra of some self-exciting and mutually exciting point processes
HAWKES, A. G. (1971) · Biometrika · doi:10.1093/biomet/58.1.83 · Cited by 2,252
Simulation of nonhomogeneous poisson processes by thinning
Lewis, P. A. W., & Shedler, G. S. (1979) · Naval Research Logistics Quarterly · doi:10.1002/nav.3800260304 · Cited by 846
A cluster process representation of a self-exciting process
Hawkes, A. G., & Oakes, D. (1974) · Journal of Applied Probability · doi:10.1017/s0021900200096273 · Cited by 757
On entropy maximization principle
Akaike, H. (1977) · Medical Entomology and Zoology · Cited by 634
Jacod, J. (1975) · Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete · doi:10.1007/bf00536010 · Cited by 589
Maximum likelihood estimation of Hawkes' self-exciting point processes
Ozaki, T. (1979) · Annals of the Institute of Statistical Mathematics · doi:10.1007/bf02480272 · Cited by 309
A self-correcting point process
Isham, V. S., & Westcott, M. (1979) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(79)90008-5 · Cited by 146
Payton, L. C. (1976) · Cited by 122
Cited by
Statistical Models for Earthquake Occurrences and Residual Analysis for Point Processes
Ogata, Y. (1988) · Journal of the American Statistical Association · doi:10.1080/01621459.1988.10478560 · Cited by 2,311
Self-citationTruccolo, W., Eden, U. T., Fellows, M. R., Donoghue, J. P., & Brown, E. N. (2005) · Journal of Neurophysiology · doi:10.1152/jn.00697.2004 · Cited by 1,049
Brown, E. N., Frank, L. M., Tang, D., Quirk, M. C., & Wilson, M. A. (1998) · The Journal of Neuroscience · doi:10.1523/jneurosci.18-18-07411.1998 · Cited by 593
Goodness-of-Fit Tests and Nonparametric Adaptive Estimation for Spike Train Analysis
Reynaud-Bouret, P., Rivoirard, V., Grammont, F., & Tuleau-Malot, C. (2014) · The Journal of Mathematical Neuroscience · doi:10.1186/2190-8567-4-3 · Cited by 103
Keep-Alive Caching for the Hawkes process
Narayana, S., & Kash, I. A. (2023) · arXiv · doi:10.48550/arxiv.2309.03521
“We use Ogata’s modified thinning algorithm Ogata [1981] to generate the samples of the Hawkes process.”
Method
Metadata
- Authors
- Ogata, Y.
- Venue
- IEEE Transactions on Information Theory
- Published
- 1981-01
- Volume
- 27
- Issue
- 1
- Pages
- 23-31
- ISSN
- 0018-9448 (ISSN-L)
- 1557-9654
- OpenAlex
- W2171442490
- Cited by
- 734
- References
- 8
- FWCI
- 2.49
- Type
- journal article
- Language
- en
- Open access
- closed
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