The Hawkes process with renewal immigration \& its estimation with an EM algorithm

DOI10.1016/j.csda.2015.08.007zbMath1468.62208OpenAlexW1626821460MaRDI QIDQ1660145

Vladimir Filimonov, Didier Sornette, Spencer Wheatley

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2015.08.007

zbMATH Keywords

EM algorithmbranching processrenewal processHawkes processcluster process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (14)

Statistical inference for inter-arrival times of extreme events in bursty time series ⋮ Classification of flash crashes using the Hawkes(p,q)framework ⋮ Partial self-exciting point processes and their parameter estimations ⋮ Unnamed Item ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model ⋮ Unnamed Item ⋮ Direct Likelihood Evaluation for the Renewal Hawkes Process ⋮ Accelerating the estimation of renewal Hawkes self-exciting point processes ⋮ Modeling extreme negative returns using marked renewal Hawkes processes ⋮ Spectral estimation of Hawkes processes from count data ⋮ Likelihood based inference for the multivariate renewal Hawkes process ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ Inference for ETAS models with non-Poissonian mainshock arrival times

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