Sparse estimation for generalized exponential marked Hawkes process

DOI10.1007/S11203-022-09274-8MaRDI QIDQ6374050arXivWikidataFDO

Authors Masatoshi Goda

Publication date 29 July 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/S11203-022-09274-8

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

arXiv classification

math.STstat.TH

Abstract: We have established a sparse estimation method for the generalized exponential marked Hawkes process by the penalized method to the ordinary method (P-O) estimator. Furthermore, we evaluated the probability of correct variable selection. In order to achieve this, we established a framework for a likelihood analysis and the P-O estimation when there might be nuisance parameters and the true value of the parameter could be realized at the boundary of the parameter space. Numerical simulations are given for several important examples.

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