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Quantitative Finance · Glossary

What is Thinning?

Definition 7.10 Quantitative Methods · Chapter 7 — Point Processes and Hawkes Processes

Thinning simulates a point process with intensity λt≤Mt\lambda_t \le M_t, where MM is a bound known in advance, by proposing events at rate MM and accepting a proposal at tt with probability λt/Mt\lambda_t/M_t.

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