Statistical inference for a partially observed interacting system of Hawkes processes

Publication date 2 September 2020

Abstract: We observe the actions of a

K

sub-sample of

N

individuals up to time

t

for some large

K < N

. We model the relationships of individuals by i.i.d. Bernoulli(

p

)-random variables, where

p i n (0, 1]

is an unknown parameter. The rate of action of each individual depends on some unknown parameter

m u > 0

and on the sum of some function

p h i

of the ages of the actions of the individuals which influence him. The function

p h i

is unknown but we assume it rapidly decays. The aim of this paper is to estimate the parameter

p

asymptotically as

N o i n f t y

,

K o i n f t y

, and

t o i n f t y

. Let

m_{t}

be the average number of actions per individual up to time

t

. In the subcritical case, where

m_{t}

increases linearly, we build an estimator of

p

with the rate of convergence

f r a c 1 s q r t K + f r a c N m_{t} s q r t K + f r a c N K s q r t m_{t}

. In the supercritical case, where

m_{t}

increases exponentially fast, we build an estimator of

p

with the rate of convergence

f r a c 1 s q r t K + f r a c N m_{t} s q r t K

.

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