Study of discrete-time Hawkes process and its compensator
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Publication:6606006
DOI10.1016/J.SPL.2024.110192zbMATH Open1545.60052MaRDI QIDQ6606006FDOQ6606006
Authors: Utpal Jyoti Deba Sarma, Selvamuthu Dharmaraja 
Publication date: 16 September 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
central limit theoremlaw of large numberscompensatorself-exciting processescontinuous-time Hawkes processdiscrete-time Hawkes process
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)
Cites Work
- An Introduction to the Theory of Point Processes
- Spectra of some self-exciting and mutually exciting point processes
- Affine point processes and portfolio credit risk
- Some limit theorems for Hawkes processes and application to financial statistics
- Large deviations for Markovian nonlinear Hawkes processes
- Stability of nonlinear Hawkes processes
- Central limit theorem for nonlinear Hawkes processes
- Large Deviations of Poisson Cluster Processes
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Limit theorems for an inverse Markovian Hawkes process
- Process-level large deviations for nonlinear Hawkes point processes
- Large and moderate deviations for a discrete-time marked Hawkes process
- Moderate deviations for Hawkes processes
- Limit theorems for discrete Hawkes processes
- A dynamic contagion process
- A compensator characterization of point processes on topological lattices
- Limit theorems 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
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