Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling.
Feng ChenPeter HallPublished in: J. Appl. Probab. (2013)
Keyphrases
- high frequency
- non stationary
- data modeling
- low frequency
- database design
- data model
- random fields
- object oriented
- wavelet transform
- data mining
- database systems
- data analysis
- sql server
- financial markets
- wavelet domain
- data warehousing
- wavelet coefficients
- subband
- data management
- markov random field
- knowledge discovery
- high resolution
- multiresolution
- machine learning