Accelerating the estimation of renewal Hawkes self-exciting point processes (Q109685): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11222-021-10002-0
+Normal rank
@@ Property / OpenAlex ID @@
+W3135021977
@@ Property / OpenAlex ID: W3135021977 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating value-at-risk: a point process approach
+Normal rank
@@ Property / cites work @@
+Likelihood based inference for the multivariate renewal Hawkes process
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Hawkes processes: an application to financial data
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Reactive point processes: a new approach to predicting power failures in underground electrical systems
+Normal rank
@@ Property / cites work @@
+Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Q5649230
@@ Property / cites work: Q5649230 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+A cluster process representation of a self-exciting process
+Normal rank
@@ Property / cites work @@
+Explosive Poisson shot noise processes with applications to risk reserves
+Normal rank
@@ Property / cites work @@
+Modeling extreme negative returns using marked renewal Hawkes processes
+Normal rank
@@ Property / cites work @@
+Estimation of Space–Time Branching Process Models in Seismology Using an EM–Type Algorithm
+Normal rank
@@ Property / cites work @@
+The Hawkes process with renewal immigration \& its estimation with an EM algorithm
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:109685