Modeling Event Clustering Using the m-Memory Cox-Type Self-Exciting Intensity Model

  •  Feng Chen    
  •  Kani Chen    


In the analysis of point processes or recurrent events, the self-exciting component can be an important factor in understanding and predicting event occurrence.  A Cox-type self-exciting intensity point process is generally not a proper model because of its explosion in finite time. However, the model with $m$-memory is appropriate to analyze sequences of recurrent events. It assumes the most recent $m$ events multiplicatively affect the conditional intensity of event occurrence. Aside from the interpretability, one advantage is the simplicity of the estimation and inference--the Cox partial likelihood can be applied and the resulting estimator is consistent and asymptotically normal. Another advantage is that the model can be applied to the analysis of case-cohort data via the pseudo-likelihood approach. The simulation studies support the asymptotic theory. Application is illustrated with analysis of a bladder cancer dataset and of an Australian stock index dataset, which shows evidence of self-excitation.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

Journal Metrics

  • h-index (December 2021): 20
  • i10-index (December 2021): 51
  • h5-index (December 2021): N/A
  • h5-median(December 2021): N/A

( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )