Exact and approximate EM estimation of mutually exciting hawkes processes
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DOI: 10.1007/s11203-013-9074-1
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- Santitissadeekorn, Naratip & Lloyd, David J.B. & Short, Martin B. & Delahaies, Sylvain, 2020. "Approximate filtering of conditional intensity process for Poisson count data: Application to urban crime," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
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Keywords
Self-exciting point processes; Estimation; Expectation-maximization;All these keywords.
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