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Journal Articles Statistics and Probability Letters Year : 2021

Maximum Likelihood Estimation for Hawkes Processes with self-excitation or inhibition

Abstract

In this paper, we present a maximum likelihood method for estimating the parameters of a univariate Hawkes process with self-excitation or inhibition. Our work generalizes techniques and results that were restricted to the self-exciting scenario. The proposed estimator is implemented for the classical exponential kernel and we show that, in the inhibition context, our procedure provides more accurate estimations than current alternative approaches.
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Dates and versions

hal-03161843 , version 1 (08-03-2021)
hal-03161843 , version 2 (15-07-2021)
hal-03161843 , version 3 (19-08-2021)

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Anna Bonnet, Miguel Martinez Herrera, Maxime Sangnier. Maximum Likelihood Estimation for Hawkes Processes with self-excitation or inhibition. Statistics and Probability Letters, 2021. ⟨hal-03161843v3⟩
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