Sparse estimation for generalized exponential marked Hawkes process

DOI10.1007/S11203-022-09274-8arXiv2107.14004WikidataQ115602842 ScholiaQ115602842MaRDI QIDQ6374050

Publication date: 29 July 2021

Abstract: We have established a sparse estimation method for the generalized exponential marked Hawkes process by the penalized method to the ordinary method (P-O) estimator. Furthermore, we evaluated the probability of correct variable selection. In order to achieve this, we established a framework for a likelihood analysis and the P-O estimation when there might be nuisance parameters and the true value of the parameter could be realized at the boundary of the parameter space. Numerical simulations are given for several important examples.

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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