Numerical method for means of linear Hawkes processes

DOI10.1080/03610926.2020.1713374MaRDI QIDQ5077453zbMATH OpenOpenAlexFDO

Authors Zhongping Li, Lirong Cui

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1713374

zbMATH Keywords

inverse Laplace transformLaplace transformlinear Hawkes processmeanWeChat network

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A dynamic contagion process
• A random effects epidemic-type aftershock sequence model
• A switching microstructure model for stock prices
• Adaptive estimation for Hawkes processes; application to genome analysis
• Affine processes and applications in finance
• An elementary derivation of moments of Hawkes processes
• Application of branching models in the study of invasive species
• Central limit theorem for nonlinear Hawkes processes
• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
• Introduction to probability models
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Modelling dyadic interaction with Hawkes processes
• Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process
• Partial self-exciting point processes and their parameter estimations
• Performance of information criteria for selection of Hawkes process models of financial data
• Reactive point processes: a new approach to predicting power failures in underground electrical systems
• Reliability and availability analysis of stochastic degradation systems based on bivariate Wiener processes
• Self-exciting point process modeling of crime
• Spectra of some self-exciting and mutually exciting point processes

Cited in

(7)

• Moments for Hawkes processes with gamma decay kernel functions
• Infinite-server systems with Hawkes arrivals and Hawkes services
• An extension of Hawkes processes with ephemeral nearest effects
• State space splitting of a finite markov process and some discussions on related counting processes
• Multivariate Hawkes process allowing for common shocks
• Estimating high-dimensional Hawkes process with time-dependent covariates
• Expectations of linear and nonlinear Hawkes processes using a field-theoretical approach

Describes a project that uses

Uses Software

• Algorithm 368

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