Regenerative properties of the linear Hawkes process with unbounded memory

DOI10.1214/21-AAP1664zbMATH Open1484.60055arXiv1905.11053OpenAlexW2946095655MaRDI QIDQ2075331FDOQ2075331

Carl Graham

Publication date: 14 February 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit independence in the Poisson cluster point process decomposition, and the regeneration times are not stopping times for the Hawkes process. The regeneration time is interpreted as the renewal time at zero of a M/G/infinity queue, which yields a formula for its Laplace transform. When the transfer function admits some exponential moments, we stochastically dominate the cluster length by exponential random variables with parameters expressed in terms of these moments. This yields explicit bounds on the Laplace transform of the regeneration time in terms of simple integrals or special functions yielding an explicit negative upper-bound on its abscissa of convergence. These regenerative results allow, e.g., to systematically derive long-time asymptotic results in view of statistical applications. This is illustrated on a concentration inequality previously obtained with coauthors.

Full work available at URL: https://arxiv.org/abs/1905.11053

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zbMATH Keywords

long-time asymptoticsLaplace transformsPoisson cluster processesregenerative processesinfinite-server queues

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Non-Markovian processes: estimation (62M09) Laplace transform (44A10) Renewal theory (60K05)

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Cited In (4)

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• Bayesian estimation of nonlinear Hawkes processes

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