Time-frequency analysis of locally stationary Hawkes processes

DOI10.3150/18-BEJ1023zbMath1464.60048arXiv1704.01437OpenAlexW1707204775WikidataQ128265623 ScholiaQ128265623MaRDI QIDQ1740528

François Roueff, Rainer von Sachs

Publication date: 30 April 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.01437

zbMATH Keywords

Bartlett spectrumtime frequency analysislocally stationary time seriesself-exciting point processesnon-parametric kernel estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Modelling time-varying first and second-order structure of time series via wavelets and differencing ⋮ Continuous-time locally stationary time series models ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ Time-frequency analysis of locally stationary Hawkes processes

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