Nonlinear Poisson autoregression and nonlinear Hawkes processes

DOI10.1016/j.spa.2023.03.015zbMath1524.60097OpenAlexW4362454002MaRDI QIDQ6098998

Lorick Huang, Mahmoud Khabou

Publication date: 19 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.spa.2023.03.015

zbMATH Keywords

integer-valued time seriesnonlinear Hawkes processesweak convergence of Markov processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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