Concepedia

Self-exciting Processes

Self-Exciting Processes is a type of counting process in which the occurrence of each event increases the likelihood of subsequent events, distinguished by an intensity function that depends on the history of past events, thereby modeling phenomena where activity fosters further activity.

191

Publications

18.1K

Citations

381

Authors

242

Institutions

Publications per year

2017–2026

71

Variants

Self-exciting Counting Processes

Parents

Publications

191

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

Bruce E. Hansen · Econometrica · 1996 · 2.3K citations

, , +15

Spectra of some self-exciting and mutually exciting point processes

Alan G. Hawkes · Biometrika · 1971 · 2.2K citations

, , +10

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Robert F. Engle, Jeffrey R. Russell · Econometrica · 1998 · 1.9K citations

, , +17

Testing linearity against smooth transition autoregressive models

Ritva Luukkonen, Pentti Saikkonen, Timo Teräsvirta · Biometrika · 1988 · 1.3K citations

, , +12

Self-Exciting Point Process Modeling of Crime

George Mohler, Martin B. Short, P. Jeffrey Brantingham et al. · Journal of the American Statistical Association · 2011 · 874 citations

, , +14

1–5 of 191

Authors

381

  1. AL
    Andrea L. Bertozzi

    University of California, Los Angeles, United States

    6 publications · 468 citations

    6

    h-index

  2. KY
    Kai Yang

    Changchun University of Technology

    5 publications · 149 citations

    5

    h-index

  3. PJ
    P. Jeffrey Brantingham

    University of California, Los Angeles, United States

    5 publications · 1.1K citations

    5

    h-index

  4. FC
    Feng Chen

    UNSW Sydney, Australia

    4 publications · 116 citations

    4

    h-index

  5. AG
    Alan G. Hawkes

    Swansea University, United Kingdom

    4 publications · 3.3K citations

    4

    h-index

1–5 of 381

Institutions

242

  1. ETH Zurich

    Zurich, Switzerland

    11 h-index

    17 publications

    1.5K citations

  2. University of California, Los Angeles

    Los Angeles, United States

    8 h-index

    24 publications

    5.6K citations

  3. Georgia Institute of Technology

    Atlanta, United States

    7 h-index

    17 publications

    1.5K citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    6 h-index

    10 publications

    307 citations

  5. Durham University

    Durham, United Kingdom

    5 h-index

    5 publications

    3.3K citations

  6. Swiss Finance Institute

    Zurich, Switzerland

    4 h-index

    4 publications

    461 citations

  7. University of Oxford

    Oxford, United Kingdom

    4 h-index

    6 publications

    225 citations

  8. Washington University in St. Louis

    St Louis, United States

    4 h-index

    6 publications

    112 citations

1–8 of 242

Venues

  1. Journal of Applied Probability

    JAP · 10 publications · 1.6K citations

    10

    h-index

  2. arXiv (Cornell University)

    Repository · 8 publications · 247 citations

    8

    h-index

  3. Quantitative Finance

    7 publications · 159 citations

    7

    h-index

  4. SSRN Electronic Journal

    Repository · 6 publications · 517 citations

    6

    h-index

  5. Physical Review E

    PRE · 5 publications · 157 citations

    5

    h-index

1–5