Estimation for the prediction of point processes with many covariates
From MaRDI portal
Publication:4643224
Abstract: Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of jumps. Only a single trajectory of the counting process is observed. Interest lies in estimating the intensity conditional on the covariates. The impact of the covariates is modelled by an additive model where each component can be written as a linear combination of possibly unknown functions. The focus is on prediction as opposed to variable screening. Conditions are imposed on the coefficients of this linear combination in order to control the estimation error. The rates of convergence are optimal when the number of active covariates is large. As an application, the intensity of the buy and sell trades of the New Zealand dollar futures is estimated and a test for forecast evaluation is presented. A simulation is included to provide some finite sample intuition on the model and asymptotic properties.
Recommendations
- Estimation of the intensity of non-homogeneous point processes via wavelets
- Model selection for Poisson processes with covariates
- scientific article; zbMATH DE number 4119420
- On consistent nonparametric intensity estimation for inhomogeneous spatial point processes
- A dynamic approach to the statistical analysis of point processes
Cites work
- A cross-validatory method for dependent data
- A nonparametric estimator for the covariance function of functional data
- Approximation and learning by greedy algorithms
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Cox's regression model for counting processes: A large sample study
- Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
- Greedy algorithms for prediction
- High-dimensional additive hazards models and the lasso
- scientific article; zbMATH DE number 1190534 (Why is no real title available?)
- scientific article; zbMATH DE number 1552483 (Why is no real title available?)
- scientific article; zbMATH DE number 3271087 (Why is no real title available?)
- Kernel estimation in a nonparametric marker dependent hazard model
- Learning Theory and Kernel Machines
- Local likelihood and local partial likelihood in hazard regression
- Modelling Financial High Frequency Data Using Point Processes
- On Testing the Validity of Sequential Probability Forecasts
- Point processes and queues. Martingale dynamics
- Rate of convergence to equilibrium of marked Hawkes processes
- Regularization for Cox's proportional hazards model with NP-dimensionality
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Stability of nonlinear Hawkes processes
- Stability selection. With discussion and authors' reply
- Statistics for high-dimensional data. Methods, theory and applications.
- Sup-norm approximation bounds for networks through probabilistic methods
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
Cited in
(6)- Point and block prediction in log-Gaussian random fields: the non-constant mean case
- Multivariate product-shot-noise Cox point process models
- State-dependent Hawkes processes and their application to limit order book modelling
- Semi-parametric learning of structured temporal point processes
- ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS
- Multivariate Temporal Point Process Regression
This page was built for publication: Estimation for the prediction of point processes with many covariates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4643224)
