Maximum likelihood estimation of Hawkes' self-exciting point processes

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical optimization and variational techniques (65K10) Non-Markovian processes: estimation (62M09)

Cites Work

Spectra of some self-exciting and mutually exciting point processes
`` Direct Search Solution of Numerical and Statistical Problems
Variable Metric Method for Minimization
A cluster process representation of a self-exciting process
Title not available (Why is that?)
Recursive estimation from discrete-time point processes
A Rapidly Convergent Descent Method for Minimization
An efficient method for finding the minimum of a function of several variables without calculating derivatives
Remarks on the theory, computation and application of the spectral analysis of series of events
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Regular point processes and their detection
Smoothing for doubly stochastic Poisson processes

Cited In (63)

A neural network based model for multi-dimensional non-linear Hawkes processes
Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
Hierarchy of temporal responses of multivariate self-excited epidemic processes
Hawkes processes in energy markets: modelling, estimation and derivatives pricing
Propagation of spiking moments in linear Hawkes networks
Hawkes process modelling for chemical reaction networks in a random environment
Nonlinear Poisson autoregression and nonlinear Hawkes processes
Improvements on scalable stochastic Bayesian inference methods for multivariate Hawkes process
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
A self-exciting modeling framework for forward prices in power markets
Spatio-temporal patterns of IED usage by the Provisional Irish Republican Army
Estimating a parametric trend component in a continuous-time jump-type process
The asymptotic behaviour of maximum likelihood estimators for stationary point processes
A parameter estimation method for multivariate binned Hawkes processes
Title not available (Why is that?)
Concentration inequalities, counting processes and adaptive statistics
The Hawkes process with renewal immigration \& its estimation with an EM algorithm
Cojumps and asset allocation in international equity markets
Nonparametric self-exciting models for computer network traffic
Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
The limits of statistical significance of Hawkes processes fitted to financial data
Limit theorems for Markovian Hawkes processes with a large initial intensity
Exact and approximate EM estimation of mutually exciting Hawkes processes
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
Bootstrap inference for Hawkes and general point processes
System identification based on point processes and correlation densities. II. The refractory neuron model
Analysis of branching ratio of telecommunication stocks in Thailand using Hawkes process
Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
Comment on ``A review of self-exciting spatiotemporal point process and their applications by Alex Reinhart
A bivariate shot noise self-exciting process for insurance
Self-exciting hurdle models for terrorist activity
Alternative asymptotic inference theory for a nonstationary Hawkes process
Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
State-dependent Hawkes processes and their application to limit order book modelling
Asymptotic distribution of the score test for detecting marks in Hawkes processes
Statistical inference for ergodic point processes and application to limit order book
Optimal liquidation problem in illiquid markets
Fifty years later: new directions in Hawkes processes
Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
Stochastic models for the infectivity function in an infinite population of susceptible individuals
Multivariate insurance models: an overview
Limit properties of continuous self-exciting processes
Hawkes process and Edgeworth expansion with application to maximum likelihood estimator
Statistical inference for the doubly stochastic self-exciting process
Modeling of spike trains in auditory nerves with self-exciting point processes of the von Mises type
Clustering effects via Hawkes processes
emhawkes
Modelling systemic price cojumps with Hawkes factor models
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Wavelet thresholding estimation in a Poissonian interactions model with application to genomic data
Classification of flash crashes using the Hawkes \(p,q\) framework
Partial self-exciting point processes and their parameter estimations
Direct Likelihood Evaluation for the Renewal Hawkes Process
Performance of information criteria for selection of Hawkes process models of financial data
Spectral estimation of Hawkes processes from count data
Self-exciting point process models for political conflict forecasting
Point-process models of social network interactions: Parameter estimation and missing data recovery
Nonparametric inference for stochastic feedforward networks based on cross-spectral analysis of point processes
Adaptive estimation for Hawkes processes; application to genome analysis
Analyzing order flows in limit order books with ratios of Cox-type intensities
Fast and asymptotically efficient estimation in the Hawkes processes
Maximum likelihood estimations in a nonlinear self-exciting point process model

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