An estimation procedure for the Hawkes process

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An estimation procedure for the Hawkes process

7 September 2015

Matthias Kirchner

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Papers citing "An estimation procedure for the Hawkes process"

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Title
Nonparametric estimation of Hawkes processes with RKHSs Anna Bonnet Maxime Sangnier 104 0 0 01 Nov 2024
Flexible Parametric Inference for Space-Time Hawkes Processes Emilia Siviero Guillaume Staerman Stephan Clémençon Thomas Moreau 89 1 0 10 Jun 2024
Estimation of an Order Book Dependent Hawkes Process for Large Datasets Luca Mucciante Alessio Sancetta 23 4 0 18 Jul 2023
Differentially Private Estimation of Hawkes Process Simiao Zuo Tianyi Liu Tuo Zhao H. Zha 61 1 0 15 Sep 2022
A flexible, random histogram kernel for discrete-time Hawkes processes Raiha Browning Judith Rousseau Kerrie Mengersen 48 2 0 04 Aug 2022
Linking Across Data Granularity: Fitting Multivariate Hawkes Processes to Partially Interval-Censored Data Pio Calderon Alexander Soen Marian-Andrei Rizoiu 38 3 0 03 Nov 2021
Interval-censored Hawkes processes Marian-Andrei Rizoiu Alexander Soen Shidi Li Pio Calderon Leanne Dong A. Menon Lexing Xie 61 10 0 16 Apr 2021
Spectral estimation of Hawkes processes from count data Felix Cheysson France 62 14 0 09 Mar 2020
The statistical physics of discovering exogenous and endogenous factors in a chain of events Shinsuke Koyama S. Shinomoto 123 8 0 02 Mar 2020
Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process Charlotte Dion Sarah Lemler 122 9 0 17 Apr 2019
Efficient Non-parametric Bayesian Hawkes Processes Rui Zhang Christian J. Walder Marian-Andrei Rizoiu Lexing Xie 86 38 0 08 Oct 2018
Discretization of Self-Exciting Peaks Over Threshold Models Daisuke Kurisu 39 3 0 19 Dec 2016