Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process

DOI10.1214/17-EJS1251zbMath1364.60061WikidataQ41513166 ScholiaQ41513166MaRDI QIDQ527066

Shizhe Chen, Ali Shojaie, Daniela M. Witten

Publication date: 16 May 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1491897620

zbMATH Keywords

graphedge screeningmultivariate Hawkes process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Rejoinder on: ``A review of self-exciting spatio-temporal point processes and their applications ⋮ Numerical method for means of linear Hawkes processes ⋮ Bayesian estimation of nonlinear Hawkes processes ⋮ Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models ⋮ Nonparametric Bayesian estimation for multivariate Hawkes processes

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