Lecture Notes: Temporal Point Processes and the Conditional Intensity Function

TL;DR

This paper provides an accessible introduction to temporal point processes, emphasizing the conditional intensity function, and discusses inference, simulation, and residual analysis methods for these processes.

Contribution

It offers a clear, non-technical overview of point processes on the timeline with a focus on the conditional intensity function and related analytical methods.

Findings

Introduces the concept of the conditional intensity function for point processes

Explains likelihood inference and simulation techniques

Discusses residual analysis methods for temporal point processes

Abstract

These short lecture notes contain a not too technical introduction to point processes on the time line. The focus lies on defining these processes using the conditional intensity function. Furthermore, likelihood inference, methods of simulation and residual analysis for temporal point processes specified by a conditional intensity function are considered.