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
相关论文
共 50 条
  • [31] A parameter estimation method for multivariate binned Hawkes processes
    Shlomovich, Leigh
    Cohen, Edward A. K.
    Adams, Niall
    STATISTICS AND COMPUTING, 2022, 32 (06)
  • [32] A parameter estimation method for multivariate binned Hawkes processes
    Leigh Shlomovich
    Edward A. K. Cohen
    Niall Adams
    Statistics and Computing, 2022, 32
  • [33] Multivariate Hawkes Processes for Large-Scale Inference
    Lemonnier, Remi
    Scaman, Kevin
    Kalogeratos, Argyris
    THIRTY-FIRST AAAI CONFERENCE ON ARTIFICIAL INTELLIGENCE, 2017, : 2168 - 2174
  • [34] Process-level large deviations for nonlinear Hawkes point processes
    Zhu, Lingjiong
    ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2014, 50 (03): : 845 - 871
  • [35] Large deviations and applications for Markovian Hawkes processes with a large initial intensity
    Gao, Xuefeng
    Zhu, Lingjiong
    BERNOULLI, 2018, 24 (4A) : 2875 - 2905
  • [36] An Asymptotic Expansion for Probabilities of Moderate Deviations for Multivariate Martingales
    I. G. Grama
    E. Haeusler
    Journal of Theoretical Probability, 2006, 19 : 1 - 44
  • [37] An asymptotic expansion for probabilities of moderate deviations for multivariate martingales
    Grama, I. G.
    Haeusler, E.
    JOURNAL OF THEORETICAL PROBABILITY, 2006, 19 (01) : 1 - 44
  • [38] GRAPHICAL MODELING FOR MULTIVARIATE HAWKES PROCESSES WITH NONPARAMETRIC LINK FUNCTIONS
    Eichler, Michael
    Dahlhaus, Rainer
    Dueck, Johannes
    JOURNAL OF TIME SERIES ANALYSIS, 2017, 38 (02) : 225 - 242
  • [39] Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
    Baichuan Yuan
    Frederic P. Schoenberg
    Andrea L. Bertozzi
    Annals of the Institute of Statistical Mathematics, 2021, 73 : 1127 - 1152
  • [40] Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
    Yuan, Baichuan
    Schoenberg, Frederic P.
    Bertozzi, Andrea L.
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2021, 73 (06) : 1127 - 1152
12345