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To cite the IHSEP package, please use:
Chen F, Hall P (2013). “Inference for a non-stationary self-exciting point process with an application in ultra-high frequency financial data modeling.” Journal of Applied Probability, 50(4), 1006-1024.
Chen F, Hall P (2016). “Nonparametric Estimation for Self-Exciting Point Processes – A Parsimonious Approach.” Journal of Computational and Graphical Statistics, 25(1), 209-224.
Chen F (2021). IHSEP: Inhomogeneous Self-Exciting Process. R package version 0.3.1, https://cran.r-project.org/package=IHSEP.
Corresponding BibTeX entries:
@Article{,
title = {Inference for a non-stationary self-exciting point process
with an application in ultra-high frequency financial data
modeling},
journal = {Journal of Applied Probability},
volume = {50},
number = {4},
pages = {1006-1024},
year = {2013},
author = {Feng Chen and Peter Hall},
}
@Article{,
title = {Nonparametric Estimation for Self-Exciting Point Processes
-- A Parsimonious Approach},
journal = {Journal of Computational and Graphical Statistics},
volume = {25},
number = {1},
pages = {209-224},
year = {2016},
author = {Feng Chen and Peter Hall},
}
@Manual{,
title = {IHSEP: Inhomogeneous Self-Exciting Process},
year = {2021},
author = {Feng Chen},
url = {https://cran.r-project.org/package=IHSEP},
note = {R package version 0.3.1},
}
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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