Limit theorems for a discrete-time Hawkes process
Probability
2021-06-23 v3
Abstract
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting more attention. Furthermore, in reality, events are often recorded in a discrete-time scheme. However, Hawkes process is defined for continuous-time setting. In this paper, we study the limit theorems of a discrete-time marked Hawkes process first proposed in (Xu et al., 2020).
Cite
@article{arxiv.2003.02810,
title = {Limit theorems for a discrete-time Hawkes process},
author = {Haixu Wang},
journal= {arXiv preprint arXiv:2003.02810},
year = {2021}
}