Moderate deviations for multivariate Hawkes processes

被引：1
|
作者：
Yao, Nian [1 ]
机构：
[1] Shenzhen Univ, Sch Math & Stat, Shenzhen 518060, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2018年 / 140卷
关键词：
Moderate deviations; Large deviations; Multivariate Hawkes processes; Point processes; Self-exciting processes; EXCITING POINT-PROCESSES; SPECTRA; LIMIT;
D O I：
10.1016/j.spl.2018.04.023
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The Hawkes process is a self-exciting simple point process. In this paper, we study the Moderate Deviation Principle for multivariate Hawkes processes on the large time regimes. (C) 2018 Elsevier B.V. All rights reserved.
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页码：71 / 76
页数：6
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