Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
نویسندگان
چکیده
In this paper, we present a maximum likelihood method for estimating the parameters of univariate Hawkes process with self-excitation or inhibition. Our work generalizes techniques and results that were restricted to self-exciting scenario. The proposed estimator is implemented classical exponential kernel show that, in inhibition context, our procedure provides more accurate estimations than current alternative approaches.
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2021
ISSN: ['1879-2103', '0167-7152']
DOI: https://doi.org/10.1016/j.spl.2021.109214