Asymptotic distribution of the score test for detecting marks in Hawkes processes

DOI10.1007/s11203-021-09245-5zbMath1478.62231arXiv1904.13147OpenAlexW3163631475MaRDI QIDQ2243558

Kylie-Anne Richards, William T. M. Dunsmuir, Simon Clinet, Gareth W. Peters

Publication date: 11 November 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.13147

zbMATH Keywords

ergodicityscore testquasi likelihoodlocal powerinferential statisticsmarked Hawkes point process

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes: hypothesis testing (62M02)

Related Items (2)

Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process

Cites Work

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• Multivariate Hawkes processes: an application to financial data
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• A cluster process representation of a self-exciting process
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Statistical models based on counting processes

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