A parameter estimation method for multivariate binned Hawkes processes

DOI10.1007/S11222-022-10121-2MaRDI QIDQ2103973zbMATHOpenAlexFDO

Authors Leigh Shlomovich, Edward A. K. Cohen, N. M. Adams

Publication date 9 December 2022

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.12357

zbMATH Keywords

multivariate Hawkes processesMCEM algorithmaggregated datamutually exciting

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Non-Markovian processes: estimation (62M09)

Abstract: It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from limitations on recording capabilities and the expense of storing high volumes of precise data. In order to gain a better understanding of the relationships between processes, we consider modelling the aggregated event data using multivariate Hawkes processes, which offer a description of mutually-exciting behaviour and have found wide applications in areas including seismology and finance. Here we generalise existing methodology on parameter estimation of univariate aggregated Hawkes processes to the multivariate case using a Monte Carlo Expectation Maximization (MC-EM) algorithm and through a simulation study illustrate that alternative approaches to this problem can be severely biased, with the multivariate MC-EM method outperforming them in terms of MSE in all considered cases.

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Cited in

(1)

• An estimation procedure for the Hawkes process

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