1. Hawkesovi procesi
- Author
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Jazbinšek, Nik and Bernik, Janez
- Subjects
Poissonov proces ,Galton-Watson process ,Galton-Watsonov proces ,udc:519.2 ,Poisson process ,kompenzator ,simulation ,simulacija ,slučajni procesi ,conditional intensity ,točkasti procesi ,pogojna intenzivnost ,stochastic processes ,compensator ,Hawkesov proces ,Hawkes process ,point processes - Abstract
Predstavimo analitično definicijo Hawkesovega procesa in pripadajoče pojme: pogojna intenzivnost, jedrna funkcija in količnik razvejitve. Izpeljani so pogoji za asimptotsko stacionarnost in limitno intenzivnost ter odsotnost eksplozije in izumrtje. Pogled na Hawkesove procese kot na rojstne procese z imigracijami omogoča izpeljavo porazdelitve velikosti družin, števila družin, porazdelitve časa obstoja družine ter rodovnega funkcionala procesa. S pomočjo kompenzatorja procesa lahko transformiramo Hawkesov proces v Poissonovega, kar je uporabno pri analizi slučajnega vzorca. Implementiramo različne algoritme za simulacijo: Ogatov algoritem redčenja, paralelna simulacija generacij ter popolna simulacija šibko stacionarnega Hawkesovega procesa. Definiramo in simuliramo tudi večrazsežni Hawkesov proces ter predstavimo nekaj primerov uporabe Hawkesovih procesov. We study the Hawkes process and its main components: conditional intensity, kernel function and branching ratio, deriving the conditions for asymptotic stationarity, extinction and explosion. The interpretation of Hawkes processes as cluster processes or immigration-birth cluster processes is explained. We present some results about the number and lenght of clusters, using the concept of the probability generating functional. By using the compensator and the random time change theorem, a Hawkes process can be transformed into a homogeneous Poisson process, which can be used for goodness-of-fit test. The various algorithms for generating Hawkes process are presented: the thinning algorithm by Ogata, the clustering algorithm and perfect simulation of weakly stationary Hawkes process. The multivariate Hawkes processes are introduced and its corresponding simulation algorithm is implemented. In conclusion, we present some applications of Hawkes processes in research.
- Published
- 2019