Parameter estimation of the intensity process of self-exciting point processes using the EM algorithm

IEEE Transactions on Instrumentation and Measurement

Volumn 50, Issue 3, 2001, Pages 658-664

  Mino, Hiroyuki ^a,b,c  

^a IEEE   (United States)

^b WASHINGTON UNIVERSITY   (United States)

^c TOHO UNIVERSITY   (Japan)

Author keywords

EM algorithm; Intensity process; Monte Carlo simulation; Parameter estimation; Self exciting point process

Indexed keywords

EXPECTATION MAXIMIZATION ALGORITHM; INTENSITY PROCESS; SELF EXCITING POINT PROCESS;

ALGORITHMS; COMPUTER SIMULATION; FUNCTION EVALUATION; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; OPTIMIZATION; PARAMETER ESTIMATION;

RANDOM PROCESSES;

EID: 0035362035     PISSN: 00189456     EISSN: None     Source Type: Journal    
DOI: 10.1109/19.930437     Document Type: Article

References (17)

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