Locally stationary Hawkes processes

DOI10.1016/j.spa.2015.12.003zbMath1336.60094OpenAlexW2246993989MaRDI QIDQ271846

Laure Sansonnet, Rainer von Sachs, François Roueff

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.12.003

zbMATH Keywords

point processeslocally stationary processestime-frequency analysisHawkes processesBartlett spectrum

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Applications of functional analysis in probability theory and statistics (46N30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (13)

Transform analysis for Hawkes processes with applications in dark pool trading ⋮ Mean-field limit of generalized Hawkes processes ⋮ Continuous-time locally stationary time series models ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Latent Network Structure Learning From High-Dimensional Multivariate Point Processes ⋮ Time-frequency analysis of locally stationary Hawkes processes ⋮ Statistical inference for the doubly stochastic self-exciting process ⋮ Spectral estimation of Hawkes processes from count data ⋮ Ensemble Binary Segmentation for irregularly spaced data with change-points ⋮ Likelihood based inference for the multivariate renewal Hawkes process ⋮ Testing the causality of Hawkes processes with time reversal

Cites Work

• Unnamed Item
• Unnamed Item
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Adaptive estimation for Hawkes processes; application to genome analysis
• Risk processes with non-stationary Hawkes claims arrivals
• Adaptive density estimation: A curse of support?
• On the Kullback-Leibler information divergence of locally stationary processes
• Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
• The pair correlation function of spatial Hawkes processes
• Some limit theorems for Hawkes processes and application to financial statistics
• Local inference for locally stationary time series based on the empirical spectral measure
• David George Kendall and Applied Probability
• Modelling Financial High Frequency Data Using Point Processes
• On Lewis' simulation method for point processes
• The Markovian self-exciting process
• An Introduction to the Theory of Point Processes
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Power spectra of random spike fields and related processes
• Modelling microstructure noise with mutually exciting point processes

This page was built for publication: Locally stationary Hawkes processes