Central limit theorem for a partially observed interacting system of Hawkes processes
Statistics Theory
2019-06-20 v1 Statistics Theory
Abstract
We observe the actions of a sub-sample of individuals up to time for some large . We model the relationships of individuals by i.i.d. Bernoulli()-random variables, where is an unknown parameter. The rate of action of each individual depends on some unknown parameter and on the sum of some function of the ages of the actions of the individuals which influence him. The parameters and are considered as nuisance parameters. The aim of this paper is to obtain a central limit theorem for the estimator of that we introduced in \cite{D}, both in the subcritical and supercritical cases.
Keywords
Cite
@article{arxiv.1906.08080,
title = {Central limit theorem for a partially observed interacting system of Hawkes processes},
author = {Chenguang Liu},
journal= {arXiv preprint arXiv:1906.08080},
year = {2019}
}