Large and moderate deviations for a discrete-time marked Hawkes process

Haixu Wang

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 17, 6037-6062

Abstract: Hawkes process is a continuous-time stochastic model that captures temporal stochastic self-exciting phenomena. In particular, the linear Hawkes process has been well studied and widely used in practice because of its mathematical tractability. However, in some contexts, a Hawkes model is not directly applicable because data is recorded in a discrete-time scheme or an aggregated way. Thus, a discrete-time Hawkes model is appealing for applications. In this paper, we study large and moderate deviations for a discrete-time marked Hawkes process first proposed in Xu, Zhu, and Wang (2020).

Date: 2023
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DOI: 10.1080/03610926.2021.2024236

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