Our model is a marked version of the recently proposed renewal Hawkes process, in which exogenously driven extreme returns arrive according to a renewal process rather than a Poisson process. We develop a procedure to evaluate the likelihood of the model, which can be optimized to obtain ...
Hawkes process: λ∗(t)=γ0+α∑tj<tγ(t,tj).λ∗(t)=γ0+α∑tj<tγ(t,tj). Self-correcting process: λ∗(t)=exp(μt−∑ti<tα).λ∗(t)=exp(μt−∑ti<tα). 它们存在一些问题: λ∗(t)λ∗(t)是固定的, 所以往往仅适用于一些特定的任务; ...
Hawkes process is a self-exciting point process with wide applications in many fields, such as finance, seismology, and ecology. Hawkes processes are defined for the continuous-time setting. However, data is often recorded in a discrete-time or aggregated scheme. To model the temporal process in...
Note also a combination of log-Gaussian Cox processes with Hawkes processes, i.e., the so-called Cox-Hawkes process, proposed by Miscouridou et al. (2022), which could also be extended to marked cases. Moreover, we also point to the Candy (Stoica et al. 2004, 2005) and Bisous (...
Our model is a marked version of the recently proposed renewal Hawkes process, in which exogenously driven extreme returns arrive according to a renewal process rather than a Poisson process. We develop a procedure to evaluate the likelihood of the model, which can be optimized to obtain ...
We introduce the class of hybrid marked point processes, which incorporate a state process that interacts with past-dependent events. For example, like in a Hawkes process, events can exhibit self- or cross-excitation effects, but these effects can now also depend on the state process. Events ...
Instead of framing our application in the more theoretical context of the counting measures and processes, we make use of the conditional intensity function, a parametric approach which leads us to deal with Hawkes processes. Hypotheses are made on the mark concerning its distribution as wel...
This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated in distribution by the sum of a Gaussian white noise process ...
Simultaneous monitoring of multivariate time between events and their magnitude using multivariate marked Hawkes point processMohammadreza Mirzaei NovinAmirhossein Amiri
Simultaneous monitoring of multivariate time between events and their magnitude using multivariate marked Hawkes point processMohammadreza Mirzaei Novinhttps://orcid.org/0000-0001-7372-3101View further author informationAmirhossein Amiriamiri@shahed.ac.ir...