scholarly journals Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition

2021 ◽  
pp. 109214
Author(s):  
Anna Bonnet ◽  
Miguel Martinez Herrera ◽  
Maxime Sangnier
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Hawkes Processes

scholarly journals Multivariate Hawkes processes: an application to financial data

2011 ◽  
Vol 48 (A) ◽  
pp. 367-378 ◽  
Author(s):  
Paul Embrechts ◽  
Thomas Liniger ◽  
Lu Lin
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Statistical Estimation ◽  
Goodness Of Fit ◽  
Likelihood Estimation ◽  
Financial Data ◽  
Data Sets ◽  
Hawkes Process ◽  
Science And Engineering ◽  
Hawkes Processes

A Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering. We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks. As an application, we analyze two data sets from finance.

scholarly journals Multivariate Hawkes processes: an application to financial data

2011 ◽  
Vol 48 (A) ◽  
pp. 367-378 ◽  
Author(s):  
Paul Embrechts ◽  
Thomas Liniger ◽  
Lu Lin
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Statistical Estimation ◽  
Goodness Of Fit ◽  
Likelihood Estimation ◽  
Financial Data ◽  
Data Sets ◽  
Hawkes Process ◽  
Science And Engineering ◽  
Hawkes Processes

A Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering. We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks. As an application, we analyze two data sets from finance.

Improved Multichannel InSAR Height Reconstruction Method Based on Maximum Likelihood Estimation

2014 ◽  
Vol 35 (9) ◽  
pp. 2161-2167
Author(s):  
Zhi-hui Yuan ◽  
Yun-kai Deng ◽  
Fei Li ◽  
Yu Wang ◽  
Gang Liu
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Reconstruction Method
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