Limit Theorems for an extended inverse Hawkes process with general exciting functions

Dharmaraja Selvamuthu, Shamiksha Pandey and Paola Tardelli

Statistics & Probability Letters, 2023, vol. 197, issue C

Abstract: An inverse Hawkes process is a process having constant intensity and stochastic jump size, depending on the past number of jumps, while a Hawkes process has the intensity which is stochastic. An extended inverse Hawkes process is a process obtained by combining a Hawkes process and an inverse Hawkes process.

Keywords: Hawkes processes; Inverse Hawkes processes; Extended inverse Hawkes processes; Exciting functions (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2023.109817

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