Sparse estimation for generalized exponential marked Hawkes process

Masatoshi Goda ()
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Masatoshi Goda: University of Tokyo

Statistical Inference for Stochastic Processes, 2023, vol. 26, issue 1, No 5, 139-169

Abstract: Abstract We established a sparse estimation method for the generalized exponential marked Hawkes process by the penalized method to ordinary method (P–O) estimator. Furthermore, we evaluated the probability of the correct variable selection. In the course of this, we established a framework for a likelihood analysis and the P–O estimation when there might be nuisance parameters, and the true value of the parameter might be at the boundary of the parameter space. Finally, numerical simulations are given for several important examples.

Keywords: Hawkes process; Sparse estimation; P–O estimator; Quasi-likelihood analysis; Statistical inference; Generalized exponential kernel (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11203-022-09274-8

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