Hawkes process and Edgeworth expansion with application to maximum likelihood estimator

Masatoshi Goda ()
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Masatoshi Goda: University of Tokyo

Statistical Inference for Stochastic Processes, 2021, vol. 24, issue 2, No 2, 277-325

Abstract: Abstract We provide a rigorous mathematical foundation of the theory for the higher-order asymptotic behavior of the one-dimensional Hawkes process with an exponential kernel. As an important application, we give the second-order asymptotic distribution for the maximum likelihood estimator of the exponential Hawkes process.

Keywords: Hawkes process; Inferential statistics; Edgeworth expansion; Asymptotic expansion; Maximum likelihood estimator (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11203-021-09237-5

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