The Hawkes process with renewal immigration \& its estimation with an EM algorithm
DOI10.1016/J.CSDA.2015.08.007zbMATH Open1468.62208OpenAlexW1626821460MaRDI QIDQ1660145FDOQ1660145
Vladimir Filimonov, D. Sornette, Spencer Wheatley
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2015.08.007
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Computational methods for problems pertaining to statistics (62-08) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Non-Markovian processes: estimation (62M09)
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Cited In (14)
- Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model
- Statistical inference for inter-arrival times of extreme events in bursty time series
- Asymptotic results for a class of Markovian self-exciting processes
- Title not available (Why is that?)
- Modeling extreme negative returns using marked renewal Hawkes processes
- Classification of flash crashes using the Hawkes(p,q)framework
- The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
- Inference for ETAS models with non-Poissonian mainshock arrival times
- Title not available (Why is that?)
- Partial self-exciting point processes and their parameter estimations
- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Accelerating the estimation of renewal Hawkes self-exciting point processes
- Likelihood based inference for the multivariate renewal Hawkes process
- Spectral estimation of Hawkes processes from count data
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