Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes

An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive literature has been dedicated to the non-parametric estimation of both the linear and non-linear Hawkes process, there remains a significant gap in the literature regarding the marked Hawkes process. In response to this, we propose a methodology for estimating the conditional intensity of the …

contrast cs.lg event extension linear literature marks non-linear non-parametric parametric process processes q-fin.cp q-fin.st stat.ml