Publication:128141

DOI10.48550/arXiv.2003.04314zbMath1489.60082arXiv2003.04314OpenAlexW4283033705MaRDI QIDQ128141

Gabriel Lang, Felix Cheysson, Felix Cheysson, Gabriel Lang

Publication date: 9 March 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.04314

zbMATH Keywords

spectral estimationcount datastrong mixingHawkes processWhittle method

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Ergodicity, mixing, rates of mixing (37A25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Fluctuations and precise deviations of cumulative INAR time series, hawkesbow, A parameter estimation method for multivariate binned Hawkes processes

Cites Work

• A Space-Time Conditional Intensity Model for Invasive Meningococcal Disease Occurrence
• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Locally stationary Hawkes processes
• Hawkes and INAR(\(\infty\)) processes
• Absolute regularity and Brillinger-mixing of stationary point processes
• Adaptive estimation for Hawkes processes; application to genome analysis
• On the limited memory BFGS method for large scale optimization
• Basic properties of strong mixing conditions. A survey and some open questions
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Maximum likelihood identification of neural point process systems
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Mixing: Properties and examples
• A review of self-exciting spatio-temporal point processes and their applications
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Convergence of a stochastic approximation version of the EM algorithm
• Exact and approximate EM estimation of mutually exciting Hawkes processes
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Mixing properties and central limit theorem for associated point processes
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Updating Quasi-Newton Matrices with Limited Storage
• Mixing Conditions for Markov Chains
• A cluster process representation of a self-exciting process
• A New Method for Estimating Spectral Parameters of a Stationary Regular Time Series
• The Markovian self-exciting process
• Stochastic versions of the em algorithm: an experimental study in the mixture case
• An estimation procedure for the Hawkes process
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• An Introduction to the Theory of Point Processes
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Spectra of some self-exciting and mutually exciting point processes
• Integrability of Expected Increments of Point Processes and a Related Random Change of Scale
• The probability generating functional
• Estimating value-at-risk: a point process approach
• Unnamed Item
• Unnamed Item
• Unnamed Item