MAXIMUM LIKELIHOOD ESTIMATION OF HAWKES SELF-EXCITING POINT PROCESSES

被引：170

作者：

OZAKI, T

机构：

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1979年 / 31卷 / 01期

关键词：

D O I：

10.1007/BF02480272

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A maximum likelihood estimation procedure of Hawkes' self-exciting point process model is proposed with explicit presentations of the log-likelihood of the model and its gradient and Hessian. A simulation method of the process is also presented. Some numerical results are given. © 1979 Kluwer Academic Publishers.

引用

页码：145 / 155

页数：11

共 13 条

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