Central limit theorem for nonlinear Hawkes processes

DOI10.1239/JAP/1378401234zbMATH Open1306.60015arXiv1204.1067OpenAlexW2060940929MaRDI QIDQ2854079FDOQ2854079

Authors: Lingjiong Zhu 

Publication date: 17 October 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional central limit theorem for nonlinear Hawkes process. Under the same assumptions, we also obtain a Strassen's invariance principle, i.e. a functional law of the iterated logarithm.

Full work available at URL: https://arxiv.org/abs/1204.1067

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zbMATH Keywords

central limit theoremHawkes processself-exciting point processStrassen's invariance principle

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05)

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Cited In (56)

• Limit theorems for an extended inverse Hawkes process with general exciting functions
• An extension of Hawkes processes with ephemeral nearest effects
• Study of discrete-time Hawkes process and its compensator
• A palm space approach to non-linear Hawkes processes
• Nonlinear Poisson autoregression and nonlinear Hawkes processes
• Mean-field limit of generalized Hawkes processes
• Hawkes processes on large networks
• Limit theorems for Hawkes processes with uniform immigrants
• Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
• Numerical method for means of linear Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Functional limit theorems for the multivariate Hawkes process with different exciting functions
• Asymptotic results for a class of Markovian self-exciting processes
• Limit theorems for Markovian Hawkes processes with a large initial intensity
• Functional central limit theorems and moderate deviations for Poisson cluster processes
• Statistical inference versus mean field limit for Hawkes processes
• Limit theorems for marked Hawkes processes with application to a risk model
• The Hawkes process with different exciting functions and its asymptotic behavior
• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
• Modelling of limit order books by general compound Hawkes processes with implementations
• Large and moderate deviations for a discrete-time marked Hawkes process
• Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
• Limit theorems for non-Markovian marked dynamic contagion processes
• Limit theorems for the compensator of Hawkes processes
• Generalized evolutionary point processes: model specifications and model comparison
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Limit theorems for inverse process \(T_n\) of Hawkes process
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• Functional limit theorems for marked Hawkes point measures
• Limit theorems for discrete Hawkes processes
• Some asymptotic results for nonlinear Hawkes processes
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Moderate deviations for multivariate Hawkes processes
• Moderate deviations for marked Hawkes processes
• Limit theorems for a discrete-time marked Hawkes process
• Some non asymptotic tail estimates for Hawkes processes
• Large deviations for Markovian nonlinear Hawkes processes
• Limit theorems for nearly unstable Hawkes processes
• Poisson approximation of point processes with stochastic intensity, and application to nonlinear Hawkes processes
• Limit properties of continuous self-exciting processes
• Asymptotics for an extended inverse Markovian Hawkes process
• Asymptotics for Hawkes processes with large and small baseline intensities
• Gaussian approximation of nonlinear Hawkes processes
• Limit theorems for Hawkes processes including inhibition
• Limit theorems for an inverse Markovian Hawkes process
• Functional limit theorems for a new class of non-stationary shot noise processes
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• An elementary derivation of moments of Hawkes processes
• Precise deviations for Hawkes processes
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• The Malliavin-Stein method for Hawkes functionals
• On the splitting and aggregating of Hawkes processes
• Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
• Affine point processes: approximation and efficient simulation

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