Statistical inference for the doubly stochastic self-exciting process

@inproceedings{Clinet2016StatisticalIF,
  title={Statistical inference for the doubly stochastic self-exciting process},
  author={Simon Clinet and Yoann Potiron},
  year={2016}
}
  • Simon Clinet, Yoann Potiron
  • Published 2016
  • Economics, Mathematics
  • We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter $T^{-1}\int_0^T\theta_t^*dt$, where $\theta_t^*$ is the time-varying parameter, and we consider the high-frequency asymptotics. To estimate it na\"ively, we chop the data into several blocks, compute the maximum likelihood estimator (MLE) on each block, and take the average of the… CONTINUE READING

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    Limit Theorems for Stochastic Processes

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