Nonparametric estimation of locally stationary Hawkes processe

2017/07/14 by Enno Mammen, Mammen, Enno · 1 citation
Mathematics · #FOS: Mathematics #Point processes and geometric inequalities #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1707.04469

openalex publication_date 2017/07/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and kernel 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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• Learning Registered Point Processes from Idiosyncratic Observations
• Time-frequency analysis of locally stationary Hawkes processes

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