Filtered likelihood for point processes

DOI10.1016/J.JECONOM.2017.11.011zbMath1387.62097OpenAlexW3124581022MaRDI QIDQ1745614

Kay Giesecke, Gustavo Schwenkler

Publication date: 18 April 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.11.011

zbMATH Keywords

filteringpoint processesmaximum likelihoodlikelihood approximationefficient parametric inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (10)

Estimating jump-diffusions using closed-form likelihood expansions ⋮ Pricing insurance premia: a top down approach ⋮ Modeling and estimation of multi-source clustering in crime and security data ⋮ Fluctuation analysis for the loss from default ⋮ Credit risk and contagion via self-exciting default intensity ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ Infinitely stochastic micro reserving ⋮ Filtered likelihood for point processes ⋮ LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT ⋮ Efficient estimation and filtering for multivariate jump-diffusions

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