Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (Q5407023): Difference between revisions

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scientific article; zbMATH DE number 6279824

Language	Label	Description	Also known as
English	Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling	scientific article; zbMATH DE number 6279824

Statements

instance of

scholarly article

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title

Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (English)

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Journal of Applied Probability

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publication date

4 April 2014

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full work available at URL

https://projecteuclid.org/euclid.jap/1389370096

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zbMATH Keywords

asymptotic normality

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consistency

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Hawkes process

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intensity process

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martingale central limit theorem

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maximum likelihood estimator

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nonstationary

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point process

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self-exciting

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ultra-high frequency

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MaRDI profile type

MaRDI publication profile

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cites work

Statistical models based on counting processes

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Some theory for constructing general minimum lower order confounding designs

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Maximum likelihood identification of neural point process systems

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Q5842591

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Multivariate Hawkes processes: an application to financial data

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Q3999494

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Spectra of some self-exciting and mutually exciting point processes

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A cluster process representation of a self-exciting process

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Q2774021

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The multi-state latent factor intensity model for credit rating transitions

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The asymptotic behaviour of maximum likelihood estimators for stationary point processes

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Asymptotic properties of the maximum likelihood estimator for spatio-temporal point processes

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Q4226355

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Remarks on a Multivariate Transformation

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Asymptotic Statistics

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Note on the Consistency of the Maximum Likelihood Estimate

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A nonlinear autoregressive conditional duration model with applications to financial transaction data

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Identifiers

zbMATH Open document ID

1411.60074

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DOI

10.1239/jap/1389370096

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Some theory for constructing general minimum lower order confounding designs
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+Maximum likelihood identification of neural point process systems
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+Multivariate Hawkes processes: an application to financial data
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Spectra of some self-exciting and mutually exciting point processes
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+A cluster process representation of a self-exciting process
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+The multi-state latent factor intensity model for credit rating transitions
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+The asymptotic behaviour of maximum likelihood estimators for stationary point processes
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+Asymptotic properties of the maximum likelihood estimator for spatio-temporal point processes
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+Note on the Consistency of the Maximum Likelihood Estimate
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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