The statistical analysis of self exciting point processes

MaRDI QIDQ2844451FDOQ2844451

Authors: Kai Kopperschmidt, Winfried Stute 

Publication date: 28 August 2013

Published in: Statistica Sinica (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalityconsistencymarket researchself-exciting point processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cited In (8)

• A review of self-exciting spatio-temporal point processes and their applications
• Comment on ``A review of self-exciting spatio-temporal point processes and their applications by Alex Reinhart
• Rejoinder on: ``A review of self-exciting spatio-temporal point processes and their applications
• Shot-noise processes in finance
• Partial self-exciting point processes and their parameter estimations
• Accelerating the estimation of renewal Hawkes self-exciting point processes
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• The Analysis of Current Status Data on Point Processes

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