A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation
A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation
复制标题
霍克斯过程的非参数估计过程:与最大似然估计的比较
DOI:
10.1080/00949655.2017.1422126
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发表时间:
2018
影响因子:
1.2
通讯作者:
A. Bercher
中科院分区:
文献类型:
--
作者:
Matthias Kirchner;A. Bercher
ABSTRACT In earlier work, Kirchner [An estimation procedure for the Hawkes process. Quant Financ. 2017;17(4):571–595], we introduced a nonparametric estimation method for the Hawkes point process. In this paper, we present a simulation study that compares this specific nonparametric method to maximum-likelihood estimation. We find that the standard deviations of both estimation methods decrease as power-laws in the sample size. Moreover, the standard deviations are proportional. For example, for a specific Hawkes model, the standard deviation of the branching coefficient estimate is roughly 20% larger than for MLE – over all sample sizes considered. This factor becomes smaller when the true underlying branching coefficient becomes larger. In terms of runtime, our method clearly outperforms MLE. The present bias of our method can be well explained and controlled. As an incidental finding, we see that also MLE estimates seem to be significantly biased when the underlying Hawkes model is near criticality. This asks for a more rigorous analysis of the Hawkes likelihood and its optimization.