Limit theorems for discrete Hawkes processes

DOI10.1016/J.SPL.2015.01.023MaRDI QIDQ2344892zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

central limit theoremlaw of large numbersinvariance principleself-exciting processesdiscrete Hawkes processes

Mathematics Subject Classification ID

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)

Recommendations

• Limit theorems for a discrete-time marked Hawkes process
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Functional limit theorems for the multivariate Hawkes process with different exciting functions
• Limit theorems for Hawkes processes with uniform immigrants
• Central limit theorem for nonlinear Hawkes processes

Cites work

• A dynamic contagion process
• Affine point processes and portfolio credit risk
• An Introduction to the Theory of Point Processes
• Asymptotics for associated random variables.
• Central limit theorem for nonlinear Hawkes processes
• Chains with infinite connections: Uniqueness and Markov representation
• Continuum Percolation
• Correlation inequalities on some partially ordered sets
• Large Deviations of Poisson Cluster Processes
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Limit theorems for marked Hawkes processes with application to a risk model
• Moderate deviations for Hawkes processes
• Nonuniqueness in \(g\)-functions
• Process-level large deviations for nonlinear Hawkes point processes
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Some limit theorems for Hawkes processes and application to financial statistics
• Spectra of some self-exciting and mutually exciting point processes
• Stability of nonlinear Hawkes processes
• Strongly mixing g-measures

Cited in

(18)

• Limit theorems for Hawkes processes with uniform immigrants
• Functional limit theorems for the multivariate Hawkes process with different exciting functions
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Asymptotic results for a class of Markovian self-exciting processes
• Limit theorems for the compensator of Hawkes processes
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Moderate deviations for marked Hawkes processes
• Study of discrete-time Hawkes process and its compensator
• 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
• Asymptotics for Hawkes processes with large and small baseline intensities
• Asymptotics for an extended inverse Markovian Hawkes process
• (Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two
• Limit theorems for Hawkes processes including inhibition
• Limit theorems for an inverse Markovian Hawkes process
• Nonlinear Poisson autoregression and nonlinear Hawkes processes

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