Hawkes process and Edgeworth expansion with application to maximum likelihood estimator

DOI10.1007/S11203-021-09237-5MaRDI QIDQ2046294zbMATH OpenOpenAlexFDO

Authors Masatoshi Goda

Publication date 17 August 2021

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.13846

zbMATH Keywords

asymptotic expansionEdgeworth expansionHawkes processinferential statisticsmaximum likelihood estimator

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Abstract: The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations where we can not obtain data with sufficient observation time. In such cases, it is not appropriate to approximate the error distribution of an estimator by the normal distribution. To overcome this problem, we provide a rigorous mathematical foundation of the theory for the higher-order asymptotic behavior of the one-dimensional Hawkes process with an exponential kernel. As an important application, we give the second-order asymptotic distribution for the maximum likelihood estimator of the exponential Hawkes process. Furthermore, we also present the simulation results.

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Cited in

(2)

• Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
• Sparse estimation for generalized exponential marked Hawkes process

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