First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
From MaRDI portal
Cited in
(44)- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Towards a mathematical definition of functional connectivity
- A fractional Hawkes process
- Efficient EM-variational inference for nonparametric Hawkes process
- Mean field limits for interacting Hawkes processes in a diffusive regime
- Regenerative properties of the linear Hawkes process with unbounded memory
- GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model
- Statistical inference for a partially observed interacting system of Hawkes processes
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- A switching microstructure model for stock prices
- Hawkes processes on large networks
- Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance
- Statistical inference versus mean field limit for Hawkes processes
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- An estimation procedure for the Hawkes process
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
- Uncovering causality from multivariate Hawkes integrated cumulants
- scientific article; zbMATH DE number 6982970 (Why is no real title available?)
- Exponential ergodicity for diffusions with jumps driven by a Hawkes process
- The limits of statistical significance of Hawkes processes fitted to financial data
- Renewal in Hawkes processes with self-excitation and inhibition
- Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
- State-dependent Hawkes processes and their application to limit order book modelling
- A Metric Space for Point Process Excitations
- Fifty years later: new directions in Hawkes processes
- Propagation of spiking moments in linear Hawkes networks
- Semi-parametric learning of structured temporal point processes
- Efficient inference for nonparametric Hawkes processes using auxiliary latent variables
- Disentangling and quantifying market participant volatility contributions
- Hawkes Processes Modeling, Inference, and Control: An Overview
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Nonparametric estimation of locally stationary Hawkes processes
- Multivariate Temporal Point Process Regression
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
- Multivariate representations of univariate marked Hawkes processes
- Spectral analysis for the inference of noisy Hawkes processes
- Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets
- Estimating product cannibalisation in wholesale using multivariate Hawkes processes with inhibition
- Spatio-temporal Hawkes point processes: a review
- Mean-field limits for nearly unstable Hawkes processes
- Scaling limits for supercritical nearly unstable Hawkes processes
- Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
This page was built for publication: First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976939)
