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Nonparametric estimation of locally stationary Hawkes processes

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In this paper we consider multivariate Hawkes processes with baseline conditional intensities and reproduction functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline intensities and reproduction functions based on a l...

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Bibliographic Details
Main Authors: Mammen, Enno (Author) , Müller, Marilena (Author)
Format: Article (Journal)
Language:English
Published: August 2023
In: Bernoulli
Year: 2023, Volume: 29, Issue: 3, Pages: 2062-2083
ISSN:1573-9759
DOI:10.3150/22-BEJ1532
Online Access:Verlag, lizenzpflichtig, Volltext: https://doi.org/10.3150/22-BEJ1532
Verlag, lizenzpflichtig, Volltext: https://projecteuclid.org/journals/bernoulli/volume-29/issue-3/Nonparametric-estimation-of-locally-stationary-Hawkes-processes/10.3150/22-BEJ1532.full
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Author Notes:Enno Mammen, Marilena Müller
Description
Summary:In this paper we consider multivariate Hawkes processes with baseline conditional intensities and reproduction functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline intensities and reproduction 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.
Item Description:Zuerst verfügbar über das "Project Euclid": 27. April 2023
Gesehen am 31.07.2023
Physical Description:Online Resource
ISSN:1573-9759
DOI:10.3150/22-BEJ1532

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