Large and moderate deviations for a discrete-time marked Hawkes process
Probability
2021-06-23 v2
Abstract
The Hawkes process is a simple point process with wide applications in finance, social networks, criminology, seismology, and many other fields. The Hawkes process is defined for continuous-time setting. However, data is also recorded in a discrete-time scheme. In this paper, we study a discrete-time marked Hawkes process first proposed in (Xu et al., 2020), which is appealing for applications. In particular, we study large and moderate deviations for the model.
Keywords
Cite
@article{arxiv.2003.05772,
title = {Large and moderate deviations for a discrete-time marked Hawkes process},
author = {Haixu Wang},
journal= {arXiv preprint arXiv:2003.05772},
year = {2021}
}
Comments
arXiv admin note: text overlap with arXiv:2003.02810