94 citations · 161 across the 8 of their papers we have counts for
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math.PR2015★ 66 cited
Hawkes and INAR() processes
Matthias Kirchner
In this paper, we discuss integer-valued autoregressive time series (INAR), Hawkes point processes, and their interrelationship. Besides presenting structural analogies, we derive…
math.PR2015★ 94 cited
An estimation procedure for the Hawkes process
Matthias Kirchner
In this paper, we present a nonparametric estimation procedure for the multivariate Hawkes point process. The timeline is cut into bins and -- for each component process -- the num…