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Patrick J. Laub, Young Lee and Thomas Taimre
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Patrick J. Laub: University of Melbourne, Faculty of Business and Economics
Young Lee: Harvard University, Faculty of Arts and Sciences
Thomas Taimre: The University of Queensland, School of Mathematics and Physics

Chapter Chapter 2 in The Elements of Hawkes Processes, 2021, pp 7-13 from Springer

Abstract: Abstract Before discussing Hawkes processes, some key concepts must be elucidated. Firstly, we briefly give definitions for counting processes and point processes, thereby setting essential notation. Secondly, we discuss the lesser-known conditional intensity function and compensator, both core concepts for a clear understanding of Hawkes processes.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-84639-8_2

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DOI: 10.1007/978-3-030-84639-8_2

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