Nonparametric estimation of locally stationary Hawkes processe
Statistics Theory
2017-07-17 v1 Statistics Theory
Abstract
In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and kernel functions based on a localized criterion. Theory on stationary Hawkes processes is extended to develop asymptotic theory for the estimator in the locally stationary model.
Keywords
Cite
@article{arxiv.1707.04469,
title = {Nonparametric estimation of locally stationary Hawkes processe},
author = {Enno Mammen},
journal= {arXiv preprint arXiv:1707.04469},
year = {2017}
}
Comments
28 pages