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

03/09/2021

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by   Anna Bonnet, et al.

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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.