Locally stationary Hawkes processes
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Publication:271846
DOI10.1016/j.spa.2015.12.003zbMath1336.60094OpenAlexW2246993989MaRDI QIDQ271846
Laure Sansonnet, Rainer von Sachs, François Roueff
Publication date: 20 April 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2015.12.003
Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Applications of functional analysis in probability theory and statistics (46N30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (13)
Transform analysis for Hawkes processes with applications in dark pool trading ⋮ Mean-field limit of generalized Hawkes processes ⋮ Continuous-time locally stationary time series models ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Latent Network Structure Learning From High-Dimensional Multivariate Point Processes ⋮ Time-frequency analysis of locally stationary Hawkes processes ⋮ Statistical inference for the doubly stochastic self-exciting process ⋮ Spectral estimation of Hawkes processes from count data ⋮ Ensemble Binary Segmentation for irregularly spaced data with change-points ⋮ Likelihood based inference for the multivariate renewal Hawkes process ⋮ Testing the causality of Hawkes processes with time reversal
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