Moderate deviations for multivariate Hawkes processes

Nian Yao

Statistics & Probability Letters, 2018, vol. 140, issue C, 71-76

Abstract: The Hawkes process is a self-exciting simple point process. In this paper, we study the Moderate Deviation Principle for multivariate Hawkes processes on the large time regimes.

Keywords: Moderate deviations; Large deviations; Multivariate Hawkes processes; Point processes; Self-exciting processes (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.04.023

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