Time-frequency analysis of locally stationary Hawkes processes
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Publication:1740528
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
Bartlett spectrumtime frequency analysislocally stationary time seriesself-exciting point processesnon-parametric kernel estimation
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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