Limit theorems for the compensator of Hawkes processes

DOI10.1016/j.spl.2017.04.003zbMath1386.60178OpenAlexW2606420300MaRDI QIDQ2406794

Youngsoo Seol

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.04.003

zbMATH Keywords

law of large numberslarge deviationscentral limit theoremscompensatorHawkes processesself-exciting processes

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Unnamed Item ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Unnamed Item ⋮ Limit theorems for an extended inverse Hawkes process with general exciting functions ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Limit theorems for an inverse Markovian Hawkes process

Cites Work

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