{"title":"Filtered Likelihood for Point Processes","authors":"K. Giesecke, G. Schwenkler","doi":"10.2139/ssrn.1898344","DOIUrl":null,"url":null,"abstract":"Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other events. We develop and analyze likelihood estimators for the parameters of a marked point process and incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We establish an approximation to the likelihood and analyze the convergence and large-sample properties of the associated estimators. Numerical results illustrate the behavior of our estimators.","PeriodicalId":177288,"journal":{"name":"OPER: Computational (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"20","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"OPER: Computational (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1898344","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 20
Abstract
Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other events. We develop and analyze likelihood estimators for the parameters of a marked point process and incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We establish an approximation to the likelihood and analyze the convergence and large-sample properties of the associated estimators. Numerical results illustrate the behavior of our estimators.