Study of discrete-time Hawkes process and its compensator

DOI10.1016/J.SPL.2024.110192MaRDI QIDQ6606006zbMATH OpenFDO

Authors Utpal Jyoti Deba Sarma, Selvamuthu Dharmaraja

Publication date 16 September 2024

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

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110192

zbMATH Keywords

central limit theoremcompensatorcontinuous-time Hawkes processdiscrete-time Hawkes processlaw of large numbersself-exciting processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Recommendations

• Limit theorems for discrete Hawkes processes
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Cites work

• A compensator characterization of point processes on topological lattices
• A dynamic contagion process
• Affine point processes and portfolio credit risk
• An Introduction to the Theory of Point Processes
• Central limit theorem for nonlinear Hawkes processes
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Large and moderate deviations for a discrete-time marked Hawkes process
• Large deviations for Markovian nonlinear Hawkes processes
• Large Deviations of Poisson Cluster Processes
• Limit theorems for a discrete-time marked Hawkes process
• Limit theorems for an extended inverse Hawkes process with general exciting functions
• Limit theorems for an inverse Markovian Hawkes process
• Limit theorems for discrete Hawkes processes
• Limit theorems for the compensator of Hawkes processes
• Moderate deviations for Hawkes processes
• Process-level large deviations for nonlinear Hawkes point processes
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• Some limit theorems for Hawkes processes and application to financial statistics
• Spectra of some self-exciting and mutually exciting point processes
• Stability of nonlinear Hawkes processes

Cited in

(1)

• Asymptotic analysis of discrete-time Hawkes process

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