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An algorithm for the computation of joint Hawkes moments with exponential kernel

arXiv 2110.13649 ↗First posted 25 Oct 2021cs.LG cs.NA math.NAcited by 0

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Abstract (arXiv)

The purpose of this paper is to present a recursive algorithm and its implementation in Maple and Mathematica for the computation of joint moments and cumulants of Hawkes processes with exponential kernels. Numerical results and computation times are also discussed. Obtaining closed form expressions can be computationally intensive, as joint fifth cumulant and moment formulas can be respectively expanded into up to 3,288 and 27,116 summands.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 3 of its 24 references that are in the map. First posted on arXiv 25 Oct 2021.

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References · 3

  1. 2014Cumulants of Hawkes point processescited by 5
  2. 2016Linking structure and activity in nonlinear spiking networkscited by 2
  3. 2017Analysis of order book flows using a nonparametric estimation of the branching ratio matrixcited by 1

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