Likelihood based inference for the multivariate renewal Hawkes process

DOI10.1016/j.csda.2018.01.021zbMath1469.62146MaRDI QIDQ149025

Tom Stindl, Feng Chen, Feng Chen, Tom Stindl

Publication date: July 2018

Published in: Computational Statistics & Data Analysis, 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

prediction; point process; maximum likelihood; finance; seismology; model assessment

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M30: Inference from spatial processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

86A15: Seismology (including tsunami modeling), earthquakes

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

Classification of flash crashes using the Hawkes(p,q)framework, Alternative asymptotic inference theory for a nonstationary Hawkes process, Accelerating the estimation of renewal Hawkes self-exciting point processes, MRHawkes, Statistical inference for inter-arrival times of extreme events in bursty time series, Marked self-exciting point process modelling of information diffusion on twitter, Modeling extreme negative returns using marked renewal Hawkes processes, Inference for ETAS models with non-Poissonian mainshock arrival times

Uses Software

• R

Cites Work

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