Asymptotic distribution of the score test for detecting marks in Hawkes processes
type: Item
instance of: scholarly article
title: Asymptotic distribution of the score test for detecting marks in Hawkes processes
zbMATH Open document ID: 1478.62231
author: Simon Clinet
author: William T. M. Dunsmuir
author: Gareth W. Peters
author: Kylie-Anne Richards
published in: Statistical Inference for Stochastic Processes
publication date: 2021-11-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/1904.13147
review text: The score test is a computationally efficient method for determining whether marks have a significant impact on the intensity of a Hawkes process. This paper provides theoretical justification for use of this test. It is shown that the score statistic has an asymptotic chi-squared distribution under the null hypothesis that marks do not impact the intensity process. For local power, the asymptotic distribution against local alternatives is proved to be non-central chi-squared. A stationary marked Hawkes process is constructed using a thinning method when the marks are observations on a continuous time stationary process and the joint likelihood of event times and marks is developed for this case, substantially extending existing results which only cover independent and identically distributed marks. These asymptotic chi-squared distributions required for the size and local power of the score test extend existing asymptotic results for likelihood estimates of the unmarked Hawkes process model under mild additional conditions on the moments and ergodicity of the marks process and an additional uniform boundedness assumption, shown to be true for the exponential decay Hawkes process.
reviewed by: Ping Sun
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 62H10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 7424406
zbMATH Keywords: marked Hawkes point process
zbMATH Keywords: ergodicity
zbMATH Keywords: quasi likelihood
zbMATH Keywords: score test
zbMATH Keywords: inferential statistics
zbMATH Keywords: local power
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3163631475
arXiv ID: 1904.13147
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DOI: 10.1007/S11203-021-09245-5
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description: scientific article