Moderate deviations for multivariate Hawkes processes

DOI10.1016/j.spl.2018.04.023zbMath1391.60113OpenAlexW2802477857MaRDI QIDQ1644186

Nian Yao

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.04.023

zbMATH Keywords

large deviationspoint processesmoderate deviationsmultivariate Hawkes processesself-exciting processes

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Large and moderate deviations for a discrete-time marked Hawkes process

Cites Work

• Hawkes processes on large networks
• Some asymptotic results for nonlinear Hawkes processes
• Mean-field limit of generalized Hawkes processes
• Moderate deviations for marked Hawkes processes
• Moderate deviations for Hawkes processes
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Some limit theorems for Hawkes processes and application to financial statistics
• Central Limit Theorem for Nonlinear Hawkes Processes
• A cluster process representation of a self-exciting process
• Spectra of some self-exciting and mutually exciting point processes
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