Mixing properties for multivariate Hawkes processes
Mixing properties for multivariate Hawkes processes
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Properties of strong mixing have been established for the stationary linear Hawkes process in the univariate case, and can serve as a basis for statistical applications. In this paper, we provide the technical arguments needed to extend the proof to the multivariate case. We illustrate these properties by establishing a functional central limit the...
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Mixing properties for multivariate Hawkes processes
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TN_cdi_proquest_journals_2894090105
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2894090105
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E-ISSN
2331-8422
