Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition

DOI10.1016/j.spl.2021.109214zbMath1478.62239arXiv2103.05299OpenAlexW3196113573MaRDI QIDQ2244537

Miguel Martinez Herrera, Maxime Sangnier, Anna Bonnet

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.05299

zbMATH Keywords

maximum likelihood estimatorHawkes process with inhibition

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Interacting Hawkes processes with multiplicative inhibition ⋮ Continuous Time-Interaction Processes for Population Size Estimation, with an Application to Drug Dealing in Italy ⋮ Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity

Uses Software

• PyHawkes

Cites Work

• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
• Some limit theorems for Hawkes processes and application to financial statistics
• On Lewis' simulation method for point processes
• A cluster process representation of a self-exciting process
• An Introduction to the Theory of Point Processes
• Spectra of some self-exciting and mutually exciting point processes

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