Nonparametric estimation of locally stationary Hawkes processes
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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| Hauptverfasser: | , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
August 2023
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| In: |
Bernoulli
Year: 2023, Jahrgang: 29, Heft: 3, Pages: 2062-2083 |
| ISSN: | 1573-9759 |
| DOI: | 10.3150/22-BEJ1532 |
| Online-Zugang: | 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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| Verfasserangaben: | Enno Mammen, Marilena Müller |
MARC
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| 520 | |a 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. | ||
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