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.
引用
收藏
页码：71 / 76
页数：6
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