3 citations · 3 across the 3 of their papers we have counts for
Showing stat.COShow all
2 papers · 1 filter
stat.CO2024
Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We…
stat.CO2015★ 3 cited
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generat…