A cluster process representation of a self-exciting process
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(only showing first 100 items - show all)- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Accelerating the estimation of renewal Hawkes self-exciting point processes
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
- Spectral estimation of Hawkes processes from count data
- Some monotonicity and dependence properties of self-exciting point processes
- Coupling with compensators
- Likelihood based inference for the multivariate renewal Hawkes process
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- GPU accelerated MCMC for modeling terrorist activity
- A review of self-exciting spatio-temporal point processes and their applications
- Moderate deviations for multivariate Hawkes processes
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing
- Mean-field limit of generalized Hawkes processes
- Moderate deviations for marked Hawkes processes
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- The microstructural foundations of leverage effect and rough volatility
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
- Integration by parts formulas for marked Hawkes processes
- Self-exciting jump processes with applications to energy markets
- Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
- Asymptotic properties of the maximum likelihood estimator for spatio-temporal point processes
- Exact and approximate EM estimation of mutually exciting Hawkes processes
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Correlated risks vs contagion in stochastic transition models
- A switching self-exciting jump diffusion process for stock prices
- Asymptotics for Hawkes processes with large and small baseline intensities
- A bivariate shot noise self-exciting process for insurance
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Averaging principles for Markovian models of plasticity
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
- Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
- CDS pricing with fractional Hawkes processes
- Mean field limits for interacting Hawkes processes in a diffusive regime
- Regenerative properties of the linear Hawkes process with unbounded memory
- Mean-field limits for non-linear Hawkes processes with excitation and inhibition
- Semiparametric Bayesian forecasting of spatiotemporal earthquake occurrences
- Cluster point processes and Poisson thinning INARMA
- GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model
- Interacting Hawkes processes with multiplicative inhibition
- Limit theorems for Hawkes processes including inhibition
- Understanding viral video dynamics through an epidemic modelling approach
- Pricing insurance premia: a top down approach
- Modeling multi-group dynamics of related viral videos with delay differential equations
- Moments for Hawkes processes with gamma decay kernel functions
- Fractional Hawkes processes
- Multivariate Hawkes processes on inhomogeneous random graphs
- Stability for Hawkes processes with inhibition
- Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions
- Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity
- Precise deviations for Hawkes processes
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- Stochastic modelling of big data in finance
- Stability and mean-field limits of age dependent Hawkes processes
- Modelling of limit order books by general compound Hawkes processes with implementations
- Point processes on directed linear networks
- Generalized evolutionary point processes: model specifications and model comparison
- Asymptotic distribution of the score test for detecting marks in Hawkes processes
- Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
- Recursive computation of the Hawkes cumulants
- Optimal market-making strategies under synchronised order arrivals with deep neural networks
- Limit theorems for an inverse Markovian Hawkes process
- Approximate filtering of conditional intensity process for Poisson count data: application to urban crime
- A switching microstructure model for stock prices
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Large deviations for Markovian nonlinear Hawkes processes
- Limit theorems for nearly unstable Hawkes processes
- Multi-class oscillating systems of interacting neurons
- The pair correlation function of spatial Hawkes processes
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Impact of volatility clustering on equity indexed annuities
- Contagion modeling between the financial and insurance markets with time changed processes
- Limit theorems for the compensator of Hawkes processes
- Self-exciting hurdle models for terrorist activity
- Approximate simulation of Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Modelling dyadic interaction with Hawkes processes
- Modeling multivariate extreme events using self-exciting point processes
- Hawkes processes on large networks
- Moment generating function of non-Markov self-excited claims processes
- Time-consistent evaluation of credit risk with contagion
- A fractional Hawkes process. II: Further characterization of the process
- Central limit theorem for nonlinear Hawkes processes
- Statistical inference versus mean field limit for Hawkes processes
- Hawkes and INAR(\(\infty\)) processes
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- A dynamic contagion process
- Limit theorems for marked Hawkes processes with application to a risk model
- An elementary derivation of moments of Hawkes processes
- Microscopic approach of a time elapsed neural model
- Concentration inequalities, counting processes and adaptive statistics
- Long-time behavior of a Hawkes process-based limit order book
- Large Deviations of Poisson Cluster Processes
- Bayesian inference for Hawkes processes
- Some aspects of modern population mathematics
- Random walk point processes
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- A model for interest rates with clustering effects
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