(Almost) complete characterization of the stability of a discrete-time Hawkes process with inhibition and memory of length two
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Publication:6639540
DOI10.1017/jpr.2024.28MaRDI QIDQ6639540
Pascal Maillard, Anthony Muraro, Manon Costa
Publication date: 15 November 2024
Published in: Journal of Applied Probability (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stability theory for difference equations (39A30)
Cites Work
- Hawkes and INAR(\(\infty\)) processes
- Limit theorems for Hawkes processes including inhibition
- Stability for Hawkes processes with inhibition
- Limit theorems for discrete Hawkes processes
- Stability of nonlinear Hawkes processes
- Integer-Valued GARCH Process
- Markov Chains and Stochastic Stability
- A cluster process representation of a self-exciting process
- Markov Chains
- Renewal in Hawkes processes with self-excitation and inhibition
- Linear Algebra and Optimization with Applications to Machine Learning
- Interventions in INGARCH processes
- Spectra of some self-exciting and mutually exciting point processes
- On the Stochastic Matrices Associated with Certain Queuing Processes
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