Parametric inference for the discretely observed multivariate Hawkes process using particle Markov Chain Monte Carlo (opens in new tab)

The multivariate Hawkes process (MHP) is a useful statistical model for analysing multidimensional event time sequences that exhibit self-excitation and cross-excitation. When the MHP is monitored discretely, only the total number of events for each dimension in disjoint time intervals is observed. The likelihood function relative to this data is intractable, so traditional inference techniques are not available. To address this, we design a...