The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior

DOI10.1239/jap/1429282605zbMath1315.60055OpenAlexW2153059025MaRDI QIDQ5252235

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Publication date: 29 May 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1429282605

zbMATH Keywords

law of large numberscentral limit theoremHawkes processclustering effectunpredictable marks

Mathematics Subject Classification ID

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

Related Items (9)

Limit theorems for the compensator of Hawkes processes ⋮ Unnamed Item ⋮ Moderate deviations for marked Hawkes processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Unnamed Item ⋮ Cumulative damage for multi-type epidemics and an application to infectious diseases ⋮ Limit theorems for inverse process \(T_n\) of Hawkes process ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Limit theorems for an inverse Markovian Hawkes process

Cites Work

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• An Introduction to the Theory of Point Processes
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• Perfect simulation of Hawkes processes
• FADO: A Statistical Method to Detect Favored or Avoided Distances between Occurrences of Motifs using the Hawkes' Model
• Convergence of stochastic processes

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