Likelihood based inference for the multivariate renewal Hawkes process

DOI10.1016/J.CSDA.2018.01.021zbMath1469.62146OpenAlexW2791429890MaRDI QIDQ149025

Tom Stindl, Feng Chen, Feng Chen, Tom Stindl

Publication date: July 2018

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.01.021

zbMATH Keywords

predictionpoint processmaximum likelihoodfinanceseismologymodel assessment

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Seismology (including tsunami modeling), earthquakes (86A15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (8)

Statistical inference for inter-arrival times of extreme events in bursty time series ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ Marked self-exciting point process modelling of information diffusion on twitter ⋮ Accelerating the estimation of renewal Hawkes self-exciting point processes ⋮ Modeling extreme negative returns using marked renewal Hawkes processes ⋮ MRHawkes ⋮ Inference for ETAS models with non-Poissonian mainshock arrival times

Uses Software

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Cites Work

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