Maximum likelihood estimation of Hawkes' self-exciting point processes
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- Ozaki, T. Ann Inst Stat Math (1979) 31: 145. doi:10.1007/BF02480272
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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.