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National Institute for Applied Statistics Research Australia Seminar Series
December 10, 2018 @ 1:30 pm - 2:30 pm
The National Institute for Applied Statistics Research Australia (NIASRA) invites you to attend a seminar, at the University of Wollongong.
Dr Tom Stindl
Direct Likelihood Evaluation for the Renewal Hawkes Process
The classical Hawkes self-exciting process has recently been modified to allow the immigration arrival process to be defined in terms of a renewal process rather than a homogeneous Poisson process. The authors claim that computation of the likelihood for the renewal Hawkes (RHawkes) process requires exponential time and therefore is practically infeasible. As the likelihood has a fundamental role in statistical inferences, a method for likelihood evaluation is highly desirable. In this talk, I will briey discuss our direct likelihood evaluation approach to parameter estimation which pose some additional computational challenges but only requires quadratic computational time. As a by-product of our likelihood evaluation algorithm we have a computationally efficient method for
goodness-of-fit assessment and a simple, yet efficient procedure for future event prediction. The examples discussed will show that the use of the RHawkes process and its multivariate and marked extensions are readily implementable, and do not require substantial computational time and lead to parameter estimates and standard errors which produce satisfactory finite sample performances.
After the seminar, NIASRA will sponsor coffee at The Yard for the audiences. All welcome!