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Maximum likelihood estimation of Hawkes' selfexciting point processes
 T. Ozaki
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A maximum likelihood estimation procedure of Hawkes' selfexciting point process model is proposed with explicit presentations of the loglikelihood of the model and its gradient and Hessian. A simulation method of the process is also presented. Some numerical results are given.
The Institute of Statistical Mathematics
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 Title
 Maximum likelihood estimation of Hawkes' selfexciting point processes
 Journal

Annals of the Institute of Statistical Mathematics
Volume 31, Issue 1 , pp 145155
 Cover Date
 19791201
 DOI
 10.1007/BF02480272
 Print ISSN
 00203157
 Online ISSN
 15729052
 Publisher
 Kluwer Academic Publishers
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