Spectral estimation of Hawkes processes from count data

DOI10.48550/ARXIV.2003.04314MaRDI QIDQ128141zbMATHOpenAlexFDO

Authors Felix Cheysson, Gabriel Lang, Felix Cheysson, Gabriel Lang

Publication date 9 March 2020

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.04314

zbMATH Keywords

count datastrong mixingHawkes processspectral estimationWhittle method

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and spectral analysis (62M15) Ergodicity, mixing, rates of mixing (37A25)

Abstract: This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, methods based on the likelihood are not feasible. We show that spectral estimation based on Whittle's method is adapted to this case and provides consistent and asymptotically normal estimators, provided a mild moment condition on the reproduction function. Simulated datasets and a case-study illustrate the performances of the estimation, notably of the reproduction function even when time intervals are relatively large.

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Cited in

(10)

• Nonparametric estimation of locally stationary Hawkes processes
• Analytic computation of nonparametric Marsan-Lengliné estimates for Hawkes point processes
• Mean-field inference of Hawkes point processes
• An estimation procedure for the Hawkes process
• A parameter estimation method for multivariate binned Hawkes processes
• hawkesbow
• Time-frequency analysis of locally stationary Hawkes processes
• Statistical inference for a partially observed interacting system of Hawkes processes
• Fluctuations and precise deviations of cumulative INAR time series
• Adaptive estimation for Hawkes processes; application to genome analysis

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