Moderate deviations for Hawkes processes

Lingjiong Zhu

Statistics & Probability Letters, 2013, vol. 83, issue 3, 885-890

Abstract: In this paper, we obtain a moderate deviation principle for a class of point processes, i.e. linear Hawkes processes.

Keywords: Moderate deviations; Large deviations; Point processes; Hawkes processes; Self-exciting processes (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.spl.2012.12.011

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