Filtering and parameter estimation for partially observed generalized Hawkes processes
Abstract/Contents
- Abstract
- We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the self-exciting feature of our process on the asymptotic and numerical properties of the estimators.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2011 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Vacarescu, Anca Patricia |
|---|---|
| Associated with | Stanford University, Department of Mathematics |
| Primary advisor | Papanicolaou, George |
| Thesis advisor | Papanicolaou, George |
| Thesis advisor | Dembo, Amir |
| Thesis advisor | Giesecke, Kay |
| Advisor | Dembo, Amir |
| Advisor | Giesecke, Kay |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Anca Vacarescu. |
|---|---|
| Note | Submitted to the Department of Mathematics. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2011. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2011 by Anca Patricia Vacarescu
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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