Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions
2019 ◽
Vol 3
(1)
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pp. 391-412
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AbstractThe Hawkes self-exciting model has become one of the most popular point-process models in many research areas in the natural and social sciences because of its capacity for investigating the clustering effect and positive interactions among individual events/particles. This article discusses a general nonparametric framework for the estimation, extensions, and post-estimation diagnostics of Hawkes models, in which we use the kernel functions as the basic smoothing tool.
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1987 ◽
Vol 92
(D8)
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pp. 9645
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Keyword(s):
1986 ◽
Vol 22
(4)
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pp. 531-542
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Keyword(s):
Keyword(s):
1986 ◽
Vol 15
(2)
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pp. 190-207
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Keyword(s):
1997 ◽
Vol 101
(2)
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pp. 982-992
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1994 ◽
pp. 355-370
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