Limit theorems for discrete Hawkes processes
DOI10.1016/J.SPL.2015.01.023zbMATH Open1315.60058OpenAlexW1975740613MaRDI QIDQ2344892FDOQ2344892
Authors: Youngsoo Seol 
Publication date: 18 May 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.023
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central limit theoremlaw of large numbersinvariance principleself-exciting processesdiscrete Hawkes processes
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)
Cites Work
- An Introduction to the Theory of Point Processes
- Spectra of some self-exciting and mutually exciting point processes
- Affine point processes and portfolio credit risk
- Some limit theorems for Hawkes processes and application to financial statistics
- Nonuniqueness in \(g\)-functions
- Strongly mixing g-measures
- Stability of nonlinear Hawkes processes
- Central limit theorem for nonlinear Hawkes processes
- Large Deviations of Poisson Cluster Processes
- Continuum Percolation
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- Asymptotics for associated random variables.
- Correlation inequalities on some partially ordered sets
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Chains with infinite connections: Uniqueness and Markov representation
- Process-level large deviations for nonlinear Hawkes point processes
- Moderate deviations for Hawkes processes
- A dynamic contagion process
- Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
Cited In (16)
- Asymptotic results for a class of Markovian self-exciting processes
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- Title not available (Why is that?)
- Limit theorems for the compensator of Hawkes processes
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Study of discrete-time Hawkes process and its compensator
- Moderate deviations for marked Hawkes processes
- Limit theorems for a discrete-time marked Hawkes process
- Limit theorems for nearly unstable Hawkes processes
- Limit properties of continuous self-exciting processes
- Replica-mean-field limits of fragmentation-interaction-aggregation processes
- (Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two
- Asymptotics for Hawkes processes with large and small baseline intensities
- Title not available (Why is that?)
- Limit theorems for an inverse Markovian Hawkes process
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
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