Hawkes and INAR(\(\infty\)) processes

DOI10.1016/j.spa.2016.02.008zbMath1338.60133arXiv1509.02007OpenAlexW2291069302MaRDI QIDQ288846

Matthias Kirchner

Publication date: 27 May 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02007

zbMATH Keywords

weak convergencebranching processespoint processesHawkes processesinteger-valued autoregressive time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Time series analysis of dynamical systems (37M10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Limit theorems in probability theory (60F99)

Related Items (19)

Cluster point processes and Poisson thinning INARMA ⋮ Parameter Estimation of Binned Hawkes Processes ⋮ An estimation procedure for the Hawkes process ⋮ Mean targeting estimation for integer-valued time series with application to change point test ⋮ Fluctuations and precise deviations of cumulative INAR time series ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮ A first-order binomial-mixed Poisson integer-valued autoregressive model with serially dependent innovations ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Propagation of Spiking Moments in Linear Hawkes Networks ⋮ Estimating Covid-19 transmission time using Hawkes point processes ⋮ INAR approximation of bivariate linear birth and death process ⋮ Hawkes Graphs ⋮ Bivariate integer-autoregressive process with an application to mutual fund flows ⋮ Modeling extreme negative returns using marked renewal Hawkes processes ⋮ Spectral estimation of Hawkes processes from count data ⋮ A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes ⋮ A parameter estimation method for multivariate binned Hawkes processes

Cites Work

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• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• An Introduction to the Theory of Point Processes
• On finite exponential moments for branching processes and busy periods for queues
• Functional equations and the Galton-Watson process
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