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  • Search: subject:"Renewal Cluster process models"
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Year of publication
Subject
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Branching process models 1 Expectation-maximization algorithm 1 Hawkes process 1 Point process models 1 Renewal Cluster process models 1 branching structure 1 immigration 1 non-parametric estimation 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Filimonov, Vladimir 1 Sornette, Didier 1 Wheatley, Spencer 1
Published in...
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 1
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Estimation of the Hawkes process with renewal immigration using the EM algorithm
Wheatley, Spencer; Filimonov, Vladimir; Sornette, Didier - 2014
We introduce the <I>Hawkes process with renewal immigration</I> and make its statistical estimation possible with two <I>Expectation Maximization</I> (EM) algorithms. The standard <I>Hawkes process</I> introduces <I>immigrant points</I> via a Poisson process, and each immigrant has a subsequent cluster of associated...</i></i></i></i>
Persistent link: https://www.econbiz.de/10010443032
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