Maximum likelihood estimation of Hawkes' self-exciting point processes
- T. Ozaki
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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.
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- Maximum likelihood estimation of Hawkes' self-exciting point processes
Annals of the Institute of Statistical Mathematics
Volume 31, Issue 1 , pp 145-155
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