Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes

DOI10.1007/S11203-021-09251-7MaRDI QIDQ2144192zbMATH OpenOpenAlexFDO

Authors Simon Clinet

Publication date 1 June 2022

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.11624

zbMATH Keywords

marked point processstatistical inferencequasi-likelihood analysismarked Hawkes process\(V\)-geometric ergodicitygeneralized exponential kernel

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 50540 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 2208228 (Why is no real title available?)
• A mathematical approach to order book modeling
• AIC for the non-concave penalized likelihood method
• Analyzing order flows in limit order books with ratios of Cox-type intensities
• Asymptotic distribution of the score test for detecting marks in Hawkes processes
• Estimation of the spectral parameters of a stationary point process
• Exponential ergodicity for diffusions with jumps driven by a Hawkes process
• Local asymptotic normality of a sequential model for marked point processes and its applications
• Long-time behavior of a Hawkes process-based limit order book
• Markov Chains
• Markov chains and stochastic stability
• Maximum likelihood estimation in the birth-and-death process
• Multi-class oscillating systems of interacting neurons
• Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
• Partial quasi-likelihood analysis
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Quadratic Hawkes processes for financial prices
• Qualitative properties of certain piecewise deterministic Markov processes
• Schwarz type model comparison for LAQ models
• Simulating and analyzing order book data: the queue-reactive model
• Spectra of some self-exciting and mutually exciting point processes
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Stability of nonlinear Hawkes processes
• Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
• State-dependent Hawkes processes and their application to limit order book modelling
• Statistical inference for ergodic point processes and application to limit order book
• Statistical inference for the doubly stochastic self-exciting process
• The Markovian self-exciting process
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• The role of volume in order book dynamics: a multivariate Hawkes process analysis

Cited in

(2)

• Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
• Sparse estimation for generalized exponential marked Hawkes process

This page was built for publication: Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2144192)