First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.
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Publisher
Institute of Electrical and Electronics Engineers (IEEE)
- Correlation methods
- Integral equations
- Matrix algebra
- Statistical analysis
- Hawkes kernel matrix
- Wiener-Hopf integral equations
- Circular dependence
- Correlation matrix
- Earthquakes occurrence dynamics
- Estimation error
- Financial markets
- First-order statistics characterization
- High-frequency trading events
- Monovariate processes
- Multivariate Hawkes process
- Nonparametric estimation procedure
- Nonpositive kernels
- Numerical inversion
- Power-law
- Second-order statistics characterization
- Three-variate processes
- Correlation
- Kernel
- Mathematical model
- Shape
- Stochastic processes
- Covariance matrices
- Discrete-event systems
- Earthquakes
- Estimation
- Inverse problems
- Microstructure
- Multivariate point processes
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