Limit theorems for the compensator of Hawkes processes

Youngsoo Seol

Statistics & Probability Letters, 2017, vol. 127, issue C, 165-172

Abstract: This paper focuses on limit theorems for the compensator of linear Hawkes processes. The compensator process is one of the main tools to work on the dynamical properties of a general point process and is of essential interest in credit risk study in particular. We prove a large deviation principle for the compensator of Hawkes processes. Law of large numbers and a central limit theorem are also obtained.

Keywords: Hawkes processes; Self-exciting processes; Compensator; Large deviations; Central limit theorems; Law of large numbers (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2017.04.003

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