Limit properties of continuous self-exciting processes

Gunhee Kim and Geon Ho Choe

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: We introduce a self-exciting continuous process based on Brownian motion, and derive its limit properties. We find conditions when the limit behaviors of the given process and its associated Hawkes process agree. The Kolmogorov–Smirnov test was applied to check the statistical similarity of the two processes.

Keywords: Self exciting process; Hawkes process; Limit property; Brownian motion (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:155:y:2019:i:c:9

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DOI: 10.1016/j.spl.2019.108558

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