Estimating the Hawkes Process From a Discretely Observed Sample Path
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Cites work
- A parameter estimation method for multivariate binned Hawkes processes
- Advanced Markov chain Monte Carlo methods. Learning from past samples.
- An Introduction to the Theory of Point Processes
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- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Estimation of Space–Time Branching Process Models in Seismology Using an EM–Type Algorithm
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- Julia: a fresh approach to numerical computing
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- Maximum likelihood identification of neural point process systems
- Monte Carlo sampling methods using Markov chains and their applications
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Parameter Estimation of Binned Hawkes Processes
- Particle filters for continuous likelihood evaluation and maximisation
- Particle Filters for Partially Observed Diffusions
- Particle Markov Chain Monte Carlo Methods
- Spectra of some self-exciting and mutually exciting point processes
- Spectral estimation of Hawkes processes from count data
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
- The correlated pseudomarginal method
- The pseudo-marginal approach for efficient Monte Carlo computations
- Unbiased Markov chain Monte Carlo for intractable target distributions
- Weak convergence and optimal scaling of random walk Metropolis algorithms
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