Spectral estimation of Hawkes processes from count data

DOI10.48550/ARXIV.2003.04314zbMATH Open1489.60082arXiv2003.04314OpenAlexW4283033705MaRDI QIDQ128141FDOQ128141

Authors: Felix Cheysson, Gabriel Lang, Felix Cheysson, Gabriel Lang 

Publication date: 9 March 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, methods based on the likelihood are not feasible. We show that spectral estimation based on Whittle's method is adapted to this case and provides consistent and asymptotically normal estimators, provided a mild moment condition on the reproduction function. Simulated datasets and a case-study illustrate the performances of the estimation, notably of the reproduction function even when time intervals are relatively large.

Full work available at URL: https://arxiv.org/abs/2003.04314

Recommendations

• Mean-field inference of Hawkes point processes
• Hawkes graphs
• An estimation procedure for the Hawkes process
• Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
• Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions

zbMATH Keywords

count datastrong mixingHawkes processspectral estimationWhittle method

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and spectral analysis (62M15) Ergodicity, mixing, rates of mixing (37A25)

Cites Work

• An Introduction to the Theory of Point Processes
• Spectra of some self-exciting and mutually exciting point processes
• A space-time conditional intensity model for invasive meningococcal disease occurrence
• Mixing: Properties and examples
• A cluster process representation of a self-exciting process
• Title not available (Why is that?)
• Maximum likelihood estimation of Hawkes' self-exciting point processes
• On the limited memory BFGS method for large scale optimization
• Updating Quasi-Newton Matrices with Limited Storage
• Maximum likelihood identification of neural point process systems
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Convergence of a stochastic approximation version of the EM algorithm
• Exact and approximate EM estimation of mutually exciting Hawkes processes
• Estimating value-at-risk: a point process approach
• Adaptive estimation for Hawkes processes; application to genome analysis
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• Basic properties of strong mixing conditions. A survey and some open questions
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• A review of self-exciting spatio-temporal point processes and their applications
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Mixing properties and central limit theorem for associated point processes
• Locally stationary Hawkes processes
• Hawkes and INAR(\(\infty\)) processes
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Absolute regularity and Brillinger-mixing of stationary point processes
• Mixing Conditions for Markov Chains
• A New Method for Estimating Spectral Parameters of a Stationary Regular Time Series
• The Markovian self-exciting process
• Stochastic versions of the em algorithm: an experimental study in the mixture case
• An estimation procedure for the Hawkes process
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Title not available (Why is that?)
• Integrability of Expected Increments of Point Processes and a Related Random Change of Scale
• The probability generating functional
• Title not available (Why is that?)

Cited In (10)

• A parameter estimation method for multivariate binned Hawkes processes
• Time-frequency analysis of locally stationary Hawkes processes
• Analytic computation of nonparametric Marsan-Lengliné estimates for Hawkes point processes
• Fluctuations and precise deviations of cumulative INAR time series
• Statistical inference for a partially observed interacting system of Hawkes processes
• Mean-field inference of Hawkes point processes
• Nonparametric estimation of locally stationary Hawkes processes
• An estimation procedure for the Hawkes process
• hawkesbow
• Adaptive estimation for Hawkes processes; application to genome analysis

This page was built for publication: Spectral estimation of Hawkes processes from count data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q128141)