English

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 KK sub-sample of NN individuals up to time tt for some large KNK\le N. We model the relationships of individuals by i.i.d. Bernoulli(pp)-random variables, where p(0,1]p\in (0,1] is an unknown parameter. The rate of action of each individual depends on some unknown parameter μ>0\mu> 0 and on the sum of some function ϕ\phi of the ages of the actions of the individuals which influence him. The parameters μ\mu and ϕ\phi are considered as nuisance parameters. The aim of this paper is to obtain a central limit theorem for the estimator of pp 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}
}