To cite the IHSEP package, please use:

Chen F, Hall P (2013). “Inference for a non-stationary self-exciting point process with an application in ultra-high frequency financial data modeling.” Journal of Applied Probability, 50(4), 1006-1024.

Chen F, Hall P (2016). “Nonparametric Estimation for Self-Exciting Point Processes – A Parsimonious Approach.” Journal of Computational and Graphical Statistics, 25(1), 209-224.

Chen F (2021). IHSEP: Inhomogeneous Self-Exciting Process. R package version 0.3.1, https://cran.r-project.org/package=IHSEP.

Corresponding BibTeX entries:

  @Article{,
    title = {Inference for a non-stationary self-exciting point process
      with an application in ultra-high frequency financial data
      modeling},
    journal = {Journal of Applied Probability},
    volume = {50},
    number = {4},
    pages = {1006-1024},
    year = {2013},
    author = {Feng Chen and Peter Hall},
  }

  @Article{,
    title = {Nonparametric Estimation for Self-Exciting Point Processes
      -- A Parsimonious Approach},
    journal = {Journal of Computational and Graphical Statistics},
    volume = {25},
    number = {1},
    pages = {209-224},
    year = {2016},
    author = {Feng Chen and Peter Hall},
  }

  @Manual{,
    title = {IHSEP: Inhomogeneous Self-Exciting Process},
    year = {2021},
    author = {Feng Chen},
    url = {https://cran.r-project.org/package=IHSEP},
    note = {R package version 0.3.1},
  }