Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling

DOI10.1239/jap/1389370096zbMath1411.60074OpenAlexW2004500615WikidataQ125931112 ScholiaQ125931112MaRDI QIDQ5407023

Feng Chen

Publication date: 4 April 2014

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1389370096

zbMATH Keywords

consistencyasymptotic normalitypoint processmaximum likelihood estimatornonstationaryHawkes processmartingale central limit theoremself-excitingintensity processultra-high frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (17)

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