Sparse estimation for generalized exponential marked Hawkes process
نویسندگان
چکیده
We established a sparse estimation method for the generalized exponential marked Hawkes process by penalized to ordinary (P–O) estimator. Furthermore, we evaluated probability of correct variable selection. In course this, framework likelihood analysis and P–O when there might be nuisance parameters, true value parameter at boundary space. Finally, numerical simulations are given several important examples.
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2022
ISSN: ['1572-9311', '1387-0874']
DOI: https://doi.org/10.1007/s11203-022-09274-8