Palm versions of Hawkes processes

Matthias Kirchner

Statistics & Probability Letters, 2026, vol. 227, issue C

Abstract: This brief paper identifies the Palm distribution of a linear Hawkes process. The textbook example for Palm distributions is the Palm version of a stationary Poisson process that corresponds to the original process plus a point in zero. The present result generalizes this example in a more complex but nevertheless tractable way. As a next step, we derive the intensity measure of the Palm version of a Hawkes process and show how it could be used for estimation. Finally, we discuss further possible applications to the theory of Hawkes processes.

Keywords: Hawkes processes; Palm distributions (search for similar items in EconPapers)
Date: 2026
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DOI: 10.1016/j.spl.2025.110531

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