Markov-modulated Hawkes process with stepwise decay

DOI10.1007/s10463-010-0320-7zbMath1237.62181MaRDI QIDQ421443

Ting Wang, David Harte, M. S. Bebbington

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-010-0320-7

zbMATH Keywords

EM algorithm; simulations; ETAS model; Landers

Mathematics Subject Classification ID

62P35: Applications of statistics to physics

Related Items

Identifying anomalous signals in GPS data using HMMs: an increased likelihood of earthquakes?

Uses Software

• HiddenMarkov

Cites Work

• Unnamed Item
• Modelling security market events in continuous time: intensity based, multivariate point process models
• An EM algorithm for estimation in Markov-modulated Poisson processes
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• A Bayesian analysis of the minimum AIC procedure
• Estimating the dimension of a model
• Space-time point-process models for earthquake occurrences
• Stability of nonlinear Hawkes processes
• On the statistics of the linked stress release model
• An optimal selection of regression variables
• Computing integrals involving the matrix exponential
• The Markov-modulated Poisson process (MMPP) cookbook
• Parameter estimation for Markov modulated poisson processes
• An Introduction to the Theory of Point Processes
• A Rapidly Convergent Descent Method for Minimization
• Spectra of some self-exciting and mutually exciting point processes
• A new look at the statistical model identification