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

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 classic...

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Bibliographic Details
Published in:arXiv.org 2021-08
Main Authors: Bonnet, Anna, Miguel Martinez Herrera, Sangnier, Maxime
Format: Article
Language:English
Subjects:
Excitation
Maximum likelihood estimation
Maximum likelihood method
Parameter estimation
Online Access:Get full text
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Summary: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.
ISSN:2331-8422