Multi-dimensional Self-Exciting NBD Process and Hawkes Graph

Masato Hisakado
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Masato Hisakado: Nomura Hodings, Inc.

Chapter Chapter 13 in Urn Models and Their Applications in Finance, 2025, pp 207-229 from Springer

Abstract: Abstract In Chap. 12 , we introduced the self-exciting negative binomial (SE-NBD) process, which has a correlation in the same term and temporal correlation. The correlation in the same term is the same as that considered in the Pólya urn model, while the temporal correlation is incorporated by introducing the conditional initial condition. The SE-NBD process is a Poisson process with a gamma-distributed intensity function.

Date: 2025
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DOI: 10.1007/978-981-96-3825-3_13

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