A parameter estimation method for multivariate binned Hawkes processes

DOI10.1007/S11222-022-10121-2zbMath1499.62034arXiv2108.12357OpenAlexW4306810827MaRDI QIDQ2103973

Niall M. Adams, Edward A. K. Cohen, Leigh Shlomovich

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) Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Spectra of some self-exciting and mutually exciting point processes

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