Direct Likelihood Evaluation for the Renewal Hawkes Process
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Cites work
- A cluster process representation of a self-exciting process
- Adaptive estimation for Hawkes processes; application to genome analysis
- Affine point processes and portfolio credit risk
- An Introduction to the Theory of Point Processes
- Estimating value-at-risk: a point process approach
- Estimation of Space–Time Branching Process Models in Seismology Using an EM–Type Algorithm
- Exact and approximate EM estimation of mutually exciting Hawkes processes
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- Maximum likelihood identification of neural point process systems
- Multivariate Hawkes processes: an application to financial data
- Perfect simulation of Hawkes processes
- Remarks on a Multivariate Transformation
- Self-exciting hurdle models for terrorist activity
- Self-exciting point process modeling of crime
- Spectra of some self-exciting and mutually exciting point processes
- Statistical models based on counting processes
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm
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