Hawkes process and Edgeworth expansion with application to maximum likelihood estimator

被引：4
|
作者：
Goda, Masatoshi [1 ,2 ]
机构：
[1] Univ Tokyo, Grad Sch Math Sci, Meguro Ku, 3-8-1 Komaba, Tokyo 1538914, Japan
[2] Japan Sci & Technol, CREST, Kawaguchi, Japan
来源：
STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES | 2021年 / 24卷 / 02期
基金：
日本科学技术振兴机构;
关键词：
Hawkes process; Inferential statistics; Edgeworth expansion; Asymptotic expansion; Maximum likelihood estimator;
D O I：
10.1007/s11203-021-09237-5
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We provide a rigorous mathematical foundation of the theory for the higher-order asymptotic behavior of the one-dimensional Hawkes process with an exponential kernel. As an important application, we give the second-order asymptotic distribution for the maximum likelihood estimator of the exponential Hawkes process.
引用
收藏
页码：277 / 325
页数：49
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