A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation

DOI10.1080/00949655.2017.1422126OpenAlexW2792690431MaRDI QIDQ4960594

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Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1422126

zbMATH Keywords

maximum likelihood estimationnonparametric estimationHawkes process estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Parameter Estimation of Binned Hawkes Processes ⋮ Nonparametric estimation of recursive point processes with application to mumps in Pennsylvania ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Uses Software

• Matrix
• LBFGS-B

Cites Work

• Unnamed Item
• Hawkes and INAR(\(\infty\)) processes
• Branching random walks. École d'Été de Probabilités de Saint-Flour XLII -- 2012
• A cluster process representation of a self-exciting process
• An estimation procedure for the Hawkes process
• Hawkes Graphs
• An Introduction to the Theory of Point Processes
• A Limited Memory Algorithm for Bound Constrained Optimization
• Spectra of some self-exciting and mutually exciting point processes

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