Hawkes process and Edgeworth expansion with application to maximum likelihood estimator

Author:

Goda MasatoshiORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference22 articles.

1. Abergel F, Anane M, Chakraborti A, Toke IM (2016) Limit order books, 1st edn. Cambridge University Press, Cambridge. ISBN: 978-1-107-16398-0

2. Adams RA, Fournier JJF (2003) Sobolev Spaces, 2nd edn. Academic Press, London. ISBN: 978-0-1204-4143-3

3. Bhattacharya RN, Rao RR (1976) Normal approximation and asymptotic expansions, 1st edn. Wiley, London. ISBN: 978-0-471-07201-0

4. Brémaud P, Massoulié L (1996) Stability of nonlinear Hawkes processes. Ann Probab 24(3):1563–1588

5. Clinet S, Yoshida N (2017) Statistical inference for ergodic point processes and application to limit order book. Stoch Process Appl 127(6):1800–1839

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