Process-Level Large Deviations for Nonlinear Hawkes Point Processes
Probability
2014-10-16 v3
Abstract
In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.
Keywords
Cite
@article{arxiv.1108.2431,
title = {Process-Level Large Deviations for Nonlinear Hawkes Point Processes},
author = {Lingjiong Zhu},
journal= {arXiv preprint arXiv:1108.2431},
year = {2014}
}
Comments
30 pages