Likelihood based inference for the multivariate renewal Hawkes process

DOI10.1016/J.CSDA.2018.01.021MaRDI QIDQ149025zbMATHOpenAlexFDO

Authors Tom Stindl, Feng Chen, Tom Stindl, Feng Chen

Publication date July 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2018.01.021

zbMATH Keywords

predictionmaximum likelihoodfinancemodel assessmentpoint processseismology

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Seismology (including tsunami modeling), earthquakes (86A15)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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• scientific article; zbMATH DE number 3319355 (Why is no real title available?)
• A cluster process representation of a self-exciting process
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Locally stationary Hawkes processes
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Multivariate Hawkes processes: an application to financial data
• Remarks on a Multivariate Transformation
• Self-exciting point process modeling of crime
• Some limit theorems for Hawkes processes and application to financial statistics
• Space-time point-process models for earthquake occurrences
• Spectra of some self-exciting and mutually exciting point processes
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Universal residuals: a multivariate transformation

Cited in

(11)

• Statistical inference for inter-arrival times of extreme events in bursty time series
• Stability and mean-field limits of age dependent Hawkes processes
• Improvements on scalable stochastic Bayesian inference methods for multivariate Hawkes process
• Marked self-exciting point process modelling of information diffusion on twitter
• Modeling extreme negative returns using marked renewal Hawkes processes
• Alternative asymptotic inference theory for a nonstationary Hawkes process
• Classification of flash crashes using the Hawkes \(p,q\) framework
• MRHawkes
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Accelerating the estimation of renewal Hawkes self-exciting point processes
• Inference for ETAS models with non-Poissonian mainshock arrival times

Describes a project that uses

Uses Software

• R

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