Large Deviations of Poisson Cluster Processes
From MaRDI portal
Publication:3548758
DOI10.1080/15326340701645959zbMATH Open1152.60316arXiv0704.1463OpenAlexW1752898370MaRDI QIDQ3548758FDOQ3548758
Authors: Charles Bordenave, Giovanni Luca Torrisi 
Publication date: 17 December 2008
Published in: Stochastic Models (Search for Journal in Brave)
Abstract: In this paper we prove scalar and sample path large deviation principles for a large class of Poisson cluster processes. As a consequence, we provide a large deviation principle for ergodic Hawkes point processes.
Full work available at URL: https://arxiv.org/abs/0704.1463
Recommendations
- Small and large scale behavior of moments of Poisson cluster processes
- Large deviations for the Poisson process
- Large deviations by Poisson approximations
- scientific article; zbMATH DE number 482643
- scientific article; zbMATH DE number 817512
- Poisson approximation for large deviations
- Large deviations for a Poisson random indexed branching process
- Large deviations for fractional Poisson processes
Cites Work
- Space-time point-process models for earthquake occurrences
- An Introduction to the Theory of Point Processes
- Spectra of some self-exciting and mutually exciting point processes
- A cluster process representation of a self-exciting process
- Perfect simulation of Hawkes processes
- Estimating value-at-risk: a point process approach
- Title not available (Why is that?)
- Stability results for a general class of interacting point processes dynamics, and applications
- Stability of nonlinear Hawkes processes
- Rate of convergence to equilibrium of marked Hawkes processes
- Title not available (Why is that?)
- Large deviations for vector-valued Lévy processes
- The pair correlation function of spatial Hawkes processes
- Power spectra of random spike fields and related processes
- Shot noise Cox processes
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- A class of interacting marked point processes: rate of convergence to equilibrium
- Spatio-temporal Modelling of Weeds by Shot-noiseG Cox processes
- Generalised shot noise Cox processes
Cited In (53)
- Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
- Study of discrete-time Hawkes process and its compensator
- Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- Hawkes processes on large networks
- Limit theorems for Hawkes processes with uniform immigrants
- Process-level large deviations for nonlinear Hawkes point processes
- Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
- Asymptotic results for a class of Markovian self-exciting processes
- Precise deviations for Cox processes with a shot noise intensity
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- Asymptotic behavior of mean density estimators based on a single observation: the Boolean model case
- Functional central limit theorems and moderate deviations for Poisson cluster processes
- Limit theorems for marked Hawkes processes with application to a risk model
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Risk processes with non-stationary Hawkes claims arrivals
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Clustering of large deviations in moving average processes: the long memory regime
- Large and moderate deviations for a discrete-time marked Hawkes process
- Limit theorems for the compensator of Hawkes processes
- Limit theorems for an extended inverse Hawkes process with general exciting functions
- Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Recursive computation of the Hawkes cumulants
- Functional limit theorems for marked Hawkes point measures
- Limit theorems for discrete Hawkes processes
- Comparisons and asymptotics for empty space hazard functions of germ-grain models
- An extension of Hawkes processes with ephemeral nearest effects
- Some asymptotic results for nonlinear Hawkes processes
- Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- Moderate deviations for marked Hawkes processes
- Limit theorems for a discrete-time marked Hawkes process
- Asymptotic analysis of Poisson shot noise processes, and applications
- Large deviations for template matching between point processes
- Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- A dynamic contagion process
- Large deviations for Markovian 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
- Central limit theorem for nonlinear Hawkes processes
- Strongly super-Poisson statistics replaced by a wide-pulse Poisson process: the billiard random generator
- Limit theorems for Hawkes processes including inhibition
- Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
- Hawkes processes framework with a gamma density as excitation function: application to natural disasters for insurance
- Precise deviations for Hawkes processes
- Asymptotic analysis for affine point processes with large initial intensity
- The Malliavin-Stein method for Hawkes functionals
- Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
- Affine point processes: approximation and efficient simulation
This page was built for publication: Large Deviations of Poisson Cluster Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3548758)
