Parameter Estimation of Binned Hawkes Processes

DOI10.1080/10618600.2022.2050247OpenAlexW4220841697MaRDI QIDQ5057223

Lekha Patel, Leigh Shlomovich, Edward A. K. Cohen, Niall M. Adams

Publication date: 16 December 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.07160

zbMATH Keywords

EM algorithmHawkes processesself-exciting processesbinned dataaggregated data

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

A parameter estimation method for multivariate binned Hawkes processes

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