Markov-modulated Hawkes process with stepwise decay
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Cites work
- A Bayesian analysis of the minimum AIC procedure
- A new look at the statistical model identification
- A Rapidly Convergent Descent Method for Minimization
- An EM algorithm for estimation in Markov-modulated Poisson processes
- An Introduction to the Theory of Point Processes
- An optimal selection of regression variables
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Computing integrals involving the matrix exponential
- Estimating the dimension of a model
- scientific article; zbMATH DE number 846906 (Why is no real title available?)
- Modelling security market events in continuous time: intensity based, multivariate point process models
- On the statistics of the linked stress release model
- Parameter estimation for Markov modulated poisson processes
- Space-time point-process models for earthquake occurrences
- Spectra of some self-exciting and mutually exciting point processes
- Stability of nonlinear Hawkes processes
- The Markov-modulated Poisson process (MMPP) cookbook
Cited in
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- A Markov modulated dynamic contagion process with application to credit risk
- A fractional Hawkes process
- Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
- A switching microstructure model for stock prices
- Identifying anomalous signals in GPS data using HMMs: an increased likelihood of earthquakes?
- Ergodicity of a stress release point process seismic model with aftershocks
- Markov modulated Poisson process associated with state-dependent marks and its applications to the deep earthquakes
- Estimating the earthquake occurrence rates in Corinth Gulf (Greece) through Markovian arrival process modeling
- Model Checking for Hidden Markov Models
- State-dependent Hawkes processes and their application to limit order book modelling
- Partial self-exciting point processes and their parameter estimations
- Inhomogeneous hidden semi-Markov models for incompletely observed point processes
- Hidden Markov Models for Low-Frequency Earthquake Recurrence
- Multivariate representations of univariate marked Hawkes processes
- On non-asymptotic theory of recurrent neural networks in temporal point processes
- Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets
- A fractional Hawkes process model for earthquake aftershock sequences
- Modelling time-inhomogeneous incomplete records of point processes using variants of hidden Markov models
- Exact simulation of Hawkes process with exponentially decaying intensity
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