Mixing properties for multivariate Hawkes processes
Statistics Theory
2023-11-21 v1 Statistics Theory
Abstract
Properties of strong mixing have been established for the stationary linear Hawkes process in the univariate case, and can serve as a basis for statistical applications. In this paper, we provide the technical arguments needed to extend the proof to the multivariate case. We illustrate these properties by establishing a functional central limit theorem for multivariate Hawkes processes.
Cite
@article{arxiv.2311.11730,
title = {Mixing properties for multivariate Hawkes processes},
author = {Ousmane Boly and Felix Cheysson and Thi Hien Nguyen},
journal= {arXiv preprint arXiv:2311.11730},
year = {2023}
}