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Maximum likelihood estimation of Hawkes' self-exciting point processes

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Summary

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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Authors
  1. T. Ozaki
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The Institute of Statistical Mathematics

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Ozaki, T. Maximum likelihood estimation of Hawkes' self-exciting point processes. Ann Inst Stat Math 31, 145–155 (1979). https://doi.org/10.1007/BF02480272

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  • DOI: https://doi.org/10.1007/BF02480272

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