Maximum likelihood estimation of Hawkes' self-exciting point processes

DOI10.1007/bf02480272zbMath0447.62081MaRDI QIDQ78041

T. Ozaki, S. H. Smith

Publication date: December 1979

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimation of Hawkes self-exciting point processes

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

65C05: Monte Carlo methods

65K10: Numerical optimization and variational techniques

65C99: Probabilistic methods, stochastic differential equations

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