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Graphical modeling for multivariate Hawkes processes with nonparametric link functions

Hawkes introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this article, it is shown that the Granger causality structure of such processes is fully encoded in the corresponding link functions of the model. A new nonparametric...

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Hauptverfasser: Eichler, Michael (VerfasserIn) , Dahlhaus, Rainer (VerfasserIn) , Dueck, Johannes (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: Mar 2017
In: Journal of time series analysis
Year: 2017, Jahrgang: 38, Heft: 2, Pages: 225-242
ISSN:1467-9892
DOI:10.1111/jtsa.12213
Online-Zugang:Verlag, Volltext: http://dx.doi.org/10.1111/jtsa.12213
Volltext
Verfasserangaben:Michael Eichler, Rainer Dahlhaus and Johannes Dueck

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