EconPapers    
Economics at your fingertips  
 

Statistical inference for the doubly stochastic self-exciting process

Simon Clinet () and Yoann Potiron ()

Papers from arXiv.org

Abstract: We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter $T^{-1}\int_0^T\theta_t^*dt$, where $\theta_t^*$ is the time-varying parameter, and we consider the high-frequency asymptotics. To estimate it na\"ively, we chop the data into several blocks, compute the maximum likelihood estimator (MLE) on each block, and take the average of the local estimates. The asymptotic bias explodes asymptotically, thus we provide a non-na\"ive estimator which is constructed as the na\"ive one when applying a first-order bias reduction to the local MLE. We show the associated central limit theorem. Monte Carlo simulations show the importance of the bias correction and that the method performs well in finite sample, whereas the empirical study discusses the implementation in practice and documents the stochastic behavior of the parameters.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2016-07, Revised 2017-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1607.05831 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.05831

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-04-29
Handle: RePEc:arx:papers:1607.05831