Abstract
The self-exciting point process with exponential exciting function is investigated using the immigration birth representation of the process. The counting distribution is derived explicitly and some simpler interval properties are given. In particular, it is shown that the serial covariances of the interval sequence decrease monotonically to zero.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
78 articles.
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