Self-Exciting Negative Binomial Distribution and the Hawkes Process

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发表日期：

2025年

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Masato Hisakado

摘要

Recently, the Hawkes process was used to represent the clustering defaults of the time series (Hawkes 1971; Kirchner 2017; Blanc et al. 2017; Errais et al. 2010; Kanazawa et al. 2020a, b.

Recently, the Hawkes process was used to represent the clustering defaults of the time series (Hawkes 1971; Kirchner 2017; Blanc et&#xa0;al. 2017; Errais et&#xa0;al. 2010; Kanazawa et&#xa0;al. 2020a, b.

Self-Exciting Negative Binomial Distribution and the Hawkes Process

摘要

Recently, the Hawkes process was used to represent the clustering defaults of the time series (Hawkes 1971; Kirchner 2017; Blanc et al. 2017; Errais et al. 2010; Kanazawa et al. 2020a, b.