Accelerating the estimation of renewal Hawkes self-exciting point processes
type: Item
instance of: scholarly article
published in: Statistics and Computing
volume: 31
issue: 3
publication date: 2021-03-04T00:00:00Z
publication date: 2021-12-09T00:00:00Z
author: Tom Stindl
author: Feng Chen
title: Accelerating the estimation of renewal Hawkes self-exciting point processes
zbMATH Open document ID: 1475.62058
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 7441923
zbMATH Keywords: renewal Hawkes process
zbMATH Keywords: likelihood approximation
zbMATH Keywords: Newton-Raphson
zbMATH Keywords: derivative-based optimization
MaRDI profile type: Publication
full work available at URL: s11222-021-10002-0
OpenAlex ID: W3135021977
cites work: Estimating value-at-risk: a point process approach
cites work: Likelihood based inference for the multivariate renewal Hawkes process
cites work: An Introduction to the Theory of Point Processes
cites work: Multivariate Hawkes processes: an application to financial data
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Reactive point processes: a new approach to predicting power failures in underground electrical systems
cites work: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
cites work: Q5649230
cites work: Spectra of some self-exciting and mutually exciting point processes
cites work: A cluster process representation of a self-exciting process
cites work: Explosive Poisson shot noise processes with applications to risk reserves
cites work: Modeling extreme negative returns using marked renewal Hawkes processes
cites work: Estimation of Space–Time Branching Process Models in Seismology Using an EM–Type Algorithm
cites work: The Hawkes process with renewal immigration \& its estimation with an EM algorithm
DOI: 10.1007/S11222-021-10002-0
Recommended article: Partial self-exciting point processes and their parameter estimations
Recommended article: The statistical analysis of self exciting point processes
Recommended article: Fast and asymptotically efficient estimation in the Hawkes processes
Recommended article: Renewal in Hawkes processes with self-excitation and inhibition
Recommended article: Mean-field inference of Hawkes point processes
Recommended article: Direct Likelihood Evaluation for the Renewal Hawkes Process
Recommended article: Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
Recommended article: Maximum likelihood estimations in a nonlinear self-exciting point process model
Recommended article: Q4368934
Recommended article: Analytic computation of nonparametric Marsan–Lengliné estimates for Hawkes point processes
description: scientific article; zbMATH DE number 7441923