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Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process.
Vladimir Filimonov
Spencer Wheatley
Didier Sornette
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2015)
Keyphrases
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autoregressive
point processes
image quality
hidden markov models