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

Code

• github.com/migmtz/hawkes-inhibition-expon
  OfficialIn papernone★ 4

Abstract

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.

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