Statistical inference for the doubly stochastic self-exciting process
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Publication:1750090
DOI10.3150/17-BEJ966zbMath1407.60070arXiv1607.05831MaRDI QIDQ1750090
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.05831
high-frequency datastochasticHawkes processtime-varying parameterself-exciting processintegrated parameter
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (7)
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Asymptotic distribution of the score test for detecting marks in Hawkes processes ⋮ Statistical inference for the doubly stochastic self-exciting process
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