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In Chap. 12 , we introduced the self-exciting negative binomial (SE-NBD) process, which has a correlation in the same term and temporal correlation. The correlation in the same term is the same as that considered in the Pólya urn model, while the temporal correlation is incorporated by introducing the conditional initial condition. The SE-NBD process is a Poisson process with a gamma-distributed intensity function.

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Multi-dimensional Self-Exciting NBD Process and Hawkes Graph

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  • 发表日期：

    2025年

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  • Masato Hisakado

摘要

In Chap. 12 , we introduced the self-exciting negative binomial (SE-NBD) process, which has a correlation in the same term and temporal correlation. The correlation in the same term is the same as that considered in the Pólya urn model, while the temporal correlation is incorporated by introducing the conditional initial condition. The SE-NBD process is a Poisson process with a gamma-distributed intensity function.