Measuring Discrepancies Between Poisson and Exponential Hawkes Processes

Rachele Foschi ()
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Rachele Foschi: Università degli Studi di Pisa

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 1, 219-239

Abstract: Abstract Poisson processes are widely used to model the occurrence of similar and independent events. However they turn out to be an inadequate tool to describe a sequence of (possibly differently) interacting events. Many phenomena can be modelled instead by Hawkes processes. In this paper we aim at quantifying how much a Hawkes process departs from a Poisson one with respect to different aspects, namely, the behaviour of the stochastic intensity at jump times, the cumulative intensity and the interarrival times distribution. We show how the behaviour of Hawkes processes with respect to these three aspects may be very irregular. Therefore, we believe that developing a single measure describing them is not efficient, and that, instead, the departure from a Poisson process with respect to any different aspect should be separately quantified, by means of as many different measures. Key to defining these measures will be the stochastic intensity and the integrated intensity of a Hawkes process, whose properties are therefore analysed before introducing the measures. Such quantities can be also used to detect mistakes in parameters estimation.

Keywords: Stochastic intensity; Self-excitation; Inter-arrival times; Clusters; 60K99; 60E99; 65C50 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11009-020-09833-7

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