Timeline for What are the closed-form expressions for the moments of the (exponential) Hawkes process?
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 3, 2017 at 20:46 | vote | accept | crow | ||
| Apr 15, 2017 at 16:31 | answer | added | L2ODA | timeline score: 1 | |
| Mar 28, 2017 at 20:33 | answer | added | nluckn | timeline score: 1 | |
| Mar 20, 2017 at 21:41 | comment | added | crow | @DJohnson not a bad suggestion... i want to implement the method described in papers.ssrn.com/sol3/papers.cfm?abstract_id=2294112 because the maximum likelihood method doesnt come anywhere close to finding the parameters when I generate data from a known process.. i guess the estimator is biased | |
| Mar 20, 2017 at 21:30 | history | edited | crow | CC BY-SA 3.0 |
added 317 characters in body
|
| Mar 19, 2017 at 12:52 | comment | added | user78229 | Taken together, if you can't find an explicit, closed form expression for the moments in these references or the references they reference, then they probably don't exist anywhere in the published lit. Why not reach out to some of the more prominent guys (based on their SSI index) and ask them? If none of them are forthcoming with answers, you will have to develop them yourself. Otherwise, you're SOL. | |
| Mar 19, 2017 at 3:28 | comment | added | crow | @DJohnson im looking for parametric models only, unless one can forecast with nonparametric estimation somehow? doesnt seem likely though. with the parametric model one can invert the compensator to obtain the expected time of the "next point" given a history. See vixra.org/pdf/1211.0094v9.pdf Equation (35) . As far as the references, still found no clear expression for the moments | |
| Mar 17, 2017 at 23:47 | comment | added | user78229 | What about this? ethz.ch/content/dam/ethz/special-interest/mtec/… or this Saichev, A., D. Sornette. 2011. Generating functions and stability study of multivariate self-excited epidemic processes. The European Physical Journal B-Condensed Matter and Complex Systems 83(2) 271–282? | |
| Mar 17, 2017 at 23:36 | comment | added | crow | @DJohnson I see "Modeling financial contagion using mutually exciting jump processes " at citeseerx.ist.psu.edu/viewdoc/… , I think I read this before sometime back, I should re-read it... | |
| Mar 17, 2017 at 22:15 | comment | added | user78229 | Ok. What about it's references? | |
| Mar 17, 2017 at 21:25 | comment | added | crow | @DJohnson I don't see any expressions for the moments in that paper, I need more than the mean and variance | |
| Mar 17, 2017 at 21:16 | comment | added | user78229 | See arxiv.org/abs/1507.02822 | |
| Mar 17, 2017 at 21:12 | history | asked | crow | CC BY-SA 3.0 |