Efficient non-parametric estimation of variable productivity Hawkes processes

Sophie Phillips and Frederic Schoenberg

Journal of Applied Statistics, 2025, vol. 52, issue 7, 1405-1422

Abstract: Several approaches to estimating the productivity function for a Hawkes point process with variable productivity are discussed, improved upon, and compared in terms of their root-mean-squared error and computational efficiency for various data sizes, and for binned as well as unbinned data. We find that for unbinned data, a regularized version of the analytic maximum likelihood estimator proposed by Schoenberg is the most accurate but is computationally burdensome. The unregularized version of the estimator is faster to compute but has lower accuracy, though both estimators outperform empirical or binned least squares estimators in terms of root-mean-squared error, especially when the mean productivity is 0.2 or greater. For binned data, binned least squares estimates are highly efficient both in terms of computation time and root-mean-squared error. An extension to estimating transmission time density is discussed, and an application to estimating the productivity of Covid-19 in the United States as a function of time from January 2020 to July 2022 is provided.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:52:y:2025:i:7:p:1405-1422

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DOI: 10.1080/02664763.2024.2426019

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