To cite the IHSEP package, please use:

Chen, F. and 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. and Hall, P. (2016) Nonparametric estimation for self-exciting point processes -- A parsimonious approach. Journal of Computational and Graphical Statistics 25(1):209-224.

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},
  }