Population viewpoint on Hawkes processes

Alexandre Boumezoued
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Alexandre Boumezoued: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept of age pyramid which evolves according to immigration and births. The virtue if this approach that combines an intensity process definition and a branching representation is that the population age pyramid keeps track of all past events. This is used to compute new distribution properties for a class of linear Hawkes processes with general immigrants which generalize the popular exponential fertility function. The pathwise construction of the Hawkes process and its underlying population is also given.

Keywords: Hawkes processes; branching; immigration; age pyramid; non-stationarity; Laplace transform; thinning; Poisson point measure (search for similar items in EconPapers)
Date: 2015-04-24
Note: View the original document on HAL open archive server: https://hal.science/hal-01149752v2
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01149752

DOI: 10.13140/RG.2.1.4702.6729

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