NDLI: Maximum likelihood identification of Hawkes-Pham models with a guaranteed stability condition

Content Provider	IEEE Xplore Digital Library
Author	Godoy, Boris I. Solo, Victor Pasha, Syed Ahmed
Copyright Year	2015
Description	Author affiliation: Department of Electrical Engineering, Air University, Pakistan (Pasha, Syed Ahmed) \|\| School of Electrical Eng. and Telecomms, The University of New South Wales (UNSW), Sydney, Australia (Godoy, Boris I.; Solo, Victor)
Abstract	Point processes have many engineering applications and perhaps the most used dynamic system identification model is the Hawkes model. We propose a new approach to maximum likelihood estimation of Hawkes point process models. Although an EM algorithm has previously been given, it turns out to be unreliable in practice. We show that this is because it does not guarantee the stability condition required for the Hawkes process. Our new approach guarantees stability at each iteration. We illustrate with simulations and application to financial data.
Starting Page	3373
Ending Page	3378
File Size	432810
Page Count	6
File Format	PDF
e-ISBN	9781479978861
DOI	10.1109/CDC.2015.7402727
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-12-15
Publisher Place	Japan
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stability analysis Computational modeling Maximum likelihood estimation Power system stability Data models History
Content Type	Text
Resource Type	Article

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Maximum likelihood identification of Hawkes-Pham models with a guaranteed stability condition