On goodness-of-fit testing for self-exciting point processes

2024/07/12 by Kling, José C. F., Vetter, Mathias
#FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2407.09130

Abstract

Despite the wide usage of parametric point processes in theory and applications, a sound goodness-of-fit procedure to test whether a given parametric model is appropriate for data coming from a self-exciting point processes has been missing in the literature. In this work, we establish a bootstrap-based goodness-of-fit test which empirically works for all kinds of self-exciting point processes (and even beyond). In an infill-asymptotic setting we also prove its asymptotic consistency, albeit only in the particular case that the underlying point process is inhomogeneous Poisson.

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