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   Articles with "self exciting" as a keyword



A self‐exciting marked point process model for drought analysis

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recommendations! Published in 2021 at "Environmetrics"

DOI: 10.1002/env.2697

Abstract: A self‐exciting marked point process approach is proposed to model clustered low‐flow events. It combines a self‐exciting ground process designed to capture the temporal clustering behavior of extreme values and an extended Generalized Pareto mark… read more here.

Keywords: drought; marked point; model; self exciting ... See more keywords
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Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts

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recommendations! Published in 2018 at "Applied Mathematical Modelling"

DOI: 10.1016/j.apm.2018.01.003

Abstract: Abstract To better describe the characteristics of time series of counts such as over-dispersion, asymmetry and structural change, this paper considers a class of integer-valued self-exciting threshold autoregressive processes that properly capture flexible asymmetric and… read more here.

Keywords: exciting threshold; time series; series counts; autoregressive processes ... See more keywords

Self-exciting point process models for political conflict forecasting

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recommendations! Published in 2017 at "European Journal of Applied Mathematics"

DOI: 10.1017/s095679251700033x

Abstract: In 2008, the Defense Advanced Research Project Agency commissioned a database known as the Integrated Crisis Early Warning System to serve as the foundation for models capable of detecting and predicting increases in political conflict… read more here.

Keywords: conflict; point process; political conflict; self exciting ... See more keywords

On the use and misuse of time-rescaling to assess the goodness-of-fit of self-exciting temporal point processes

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recommendations! Published in 2025 at "Journal of Applied Statistics"

DOI: 10.1080/02664763.2025.2459245

Abstract: The paper first highlights important drawbacks and biases related to the common use of time-rescaling to assess the goodness-of-fit (Gof) of self-exciting temporal point process (SETPP) models. Then it presents a new predictive time-rescaling approach… read more here.

Keywords: rescaling assess; time; exciting temporal; self exciting ... See more keywords

Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks

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recommendations! Published in 2024 at "Quantitative Finance"

DOI: 10.1080/14697688.2025.2488450

Abstract: We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Zhao (2011), combining Hawkes and Cox processes with… read more here.

Keywords: optimal reinsurance; reinsurance dynamic; self exciting; model ... See more keywords

Nonparametric Method for Modeling Clustering Phenomena in Emergency Calls Under Spatial-Temporal Self-Exciting Point Processes

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recommendations! Published in 2019 at "IEEE Access"

DOI: 10.1109/access.2019.2900340

Abstract: In this paper, a nonparametric spatial-temporal self-exciting point process is proposed to model clustering features in emergency calls. Gaussian kernel density functions are considered. The expectation-maximization algorithm is adopted for estimating the model. A simulation… read more here.

Keywords: self exciting; emergency; emergency calls; method ... See more keywords

Modeling sparse Rift Valley fever incidence data: a Bayesian perspective on zero-inflated self-exciting and autoregressive models

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recommendations! Published in 2025 at "BMC Infectious Diseases"

DOI: 10.1186/s12879-025-11506-0

Abstract: Rift Valley fever (RVF) is a mosquito-borne zoonotic disease for which predictive modeling is often hindered by sparse data, particularly the high frequency of zero counts in both human and livestock surveillance systems. While zero-inflated… read more here.

Keywords: self exciting; valley fever; zero inflated; negative binomial ... See more keywords

Comment on “A Review of Self-Exciting Spatio-Temporal Point Processes and Their Applications” by Alex Reinhart

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recommendations! Published in 2018 at "Statistical Science"

DOI: 10.1214/18-sts652

Abstract: This is an excellent and extremely well-written summary of recent research on self-exciting spatialtemporal point processes. It contributes very nicely to the literature and I will use it personally to teach my graduate students about… read more here.

Keywords: point processes; temporal point; comment; approximation ... See more keywords

Code and Data Repository for Clustering Then Estimation of Spatio-Temporal Self-Exciting Processes

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recommendations! Published in 2024 at "INFORMS Journal on Computing"

DOI: 10.1287/ijoc.2022.0351.cd

Abstract: This directory contains the code for the Clustering then Estimation of Spatio-Temporal Self-Exciting Processes (CTE) algorithm. read more here.

Keywords: temporal self; clustering estimation; self exciting; estimation spatio ... See more keywords