Limit theorems for discrete Hawkes processes

DOI10.1016/j.spl.2015.01.023zbMath1315.60058OpenAlexW1975740613MaRDI QIDQ2344892

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

zbMATH Keywords

law of large numberscentral limit theoreminvariance principleself-exciting processesdiscrete Hawkes processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (12)

Replica-mean-field limits of fragmentation-interaction-aggregation processes ⋮ Limit theorems for the compensator of Hawkes processes ⋮ Limit theorems for a discrete-time marked Hawkes process ⋮ Unnamed Item ⋮ Moderate deviations for marked Hawkes processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮ Unnamed Item ⋮ Limit theorems for inverse process \(T_n\) of Hawkes process ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Limit properties of continuous self-exciting processes ⋮ Limit theorems for an inverse Markovian Hawkes process

Cites Work

• Process-level large deviations for nonlinear Hawkes point processes
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• Correlation inequalities on some partially ordered sets
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• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Some limit theorems for Hawkes processes and application to financial statistics
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• Stability of nonlinear Hawkes processes
• Central Limit Theorem for Nonlinear Hawkes Processes
• Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
• Affine Point Processes and Portfolio Credit Risk
• Asymptotics for Associated Random Variables
• A dynamic contagion process
• Limit Theorems for Marked Hawkes Processes with Application to a Risk Model
• Large Deviations of Poisson Cluster Processes
• An Introduction to the Theory of Point Processes
• Continuum Percolation
• Spectra of some self-exciting and mutually exciting point processes

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