Limit theorems for a discrete-time marked Hawkes process

Haixu Wang

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: Hawkes process is a self-exciting point process with wide applications in many fields, such as finance, seismology, and ecology. Hawkes processes are defined for the continuous-time setting. However, data is often recorded in a discrete-time or aggregated scheme. To model the temporal process in aggregated way, oftentimes a discrete-time type Hawkes process is more desirable. In this paper, we study the limit theorems for a discrete-time marked Hawkes process first proposed in Xu et al. (2020).

Keywords: Discrete-time; Self-exciting; Marked Hawkes process; Law of large numbers; Central limit theorem (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109368

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