Convergence of the Discrete-Time Compound Hawkes Processwith Exponential or Erlang Kernel
Probability
2021-06-28 v1
Abstract
Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired on regular time intervals, we propose a piece-wise constant model based on a Discrete-Time Hawkes Process (DTHP). We prove that this discrete-time model converges to the usual continuous-time Hawkes process as the time-step tends to zero.
Keywords
Cite
@article{arxiv.2106.13459,
title = {Convergence of the Discrete-Time Compound Hawkes Processwith Exponential or Erlang Kernel},
author = {Lorick Huang and Mahmoud Khabou},
journal= {arXiv preprint arXiv:2106.13459},
year = {2021}
}