Point Process Models for Multivariate High - Frequency Irreg - ularly
نویسنده
چکیده
1.1. Point Processses and Intensities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.1.1. Stochastic Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.2. The Autoregressive Conditional Duration Model . . . . . . . . . . . . . . . . . . . . . . . 2 1.3. The Autoregressive Conditional Intensity Model . . . . . . . . . . . . . . . . . . . . . . . 3 1.3.1. The ACI(1,1) Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.3.2. Maximum Likelihood Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.4. The Hawkes Process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.4.1. Linear Self-Exciting Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.4.2. The Hawkes(1) Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1.4.3. Maximum Likelihood Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
منابع مشابه
Point Process Models for Multivariate High - Frequency Irreg - ularly Spaced Data 11 - 16 - 2012
Abstract. Definitions from the theory of point processes are recalled. Models of intensity function paramaterization and maximum likelihood estimation from data are explored. Closed-form log-likelihood expressions are given for the Hawkes process, Autoregressive Conditional Duration(ACD), and Log-ACD models. The Autoregressive Conditional Intensity model is also discussed. Data from the symbol ...
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