Point process modeling through a mixture of homogeneous and self‐exciting processes
Álvaro Briz‐Redón,
Jorge Mateu
Abstract:Self‐exciting point processes allow modeling the temporal location of an event of interest, considering the history provided by previously observed events. This family of point processes is commonly used in several areas such as criminology, economics, or seismology, among others. The standard formulation of the self‐exciting process implies assuming that the underlying stochastic process is dependent on its previous history over the entire period under analysis. In this paper, we consider the possibility of m… Show more
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