Exact and approximate EM estimation of mutually exciting Hawkes processes

DOI10.1007/S11203-013-9074-1zbMath1259.62112OpenAlexW2128339480MaRDI QIDQ1943990

Jamie F. Olson, Kathleen M. Carley

Publication date: 3 April 2013

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-013-9074-1

zbMATH Keywords

estimationexpectation-maximizationself-exciting point processes

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to social sciences (62P25) Numerical optimization and variational techniques (65K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Truncated Hawkes point process modeling: system theory and system identification ⋮ Direct Likelihood Evaluation for the Renewal Hawkes Process ⋮ Spectral estimation of Hawkes processes from count data ⋮ Approximate filtering of conditional intensity process for Poisson count data: application to urban crime

Uses Software

• latentnet

Cites Work

• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Space-time point-process models for earthquake occurrences
• Estimation and prediction for stochastic blockmodels for graphs with latent block structure
• On Lewis' simulation method for point processes
• A cluster process representation of a self-exciting process
• Stochastic actor‐oriented models for network change
• Stochastic Declustering of Space-Time Earthquake Occurrences
• Latent Space Approaches to Social Network Analysis
• Spectra of some self-exciting and mutually exciting point processes
• Perfect simulation of Hawkes processes

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