Direct Likelihood Evaluation for the Renewal Hawkes Process
Author:
Affiliation:
1. Department of Statistics, UNSW, Sydney, NSW, Australia
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Discrete Mathematics and Combinatorics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10618600.2017.1341324
Reference27 articles.
1. Statistical Models Based on Counting Processes
2. Estimating value-at-risk: a point process approach
3. Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
4. Nonparametric Estimation for Self-Exciting Point Processes—A Parsimonious Approach
5. Maximum likelihood identification of neural point process systems
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