Score Test for Marks in Hawkes Processes
A score statistic for detecting the impact of marks in a linear Hawkes self-exciting point process is proposed, with its asymptotic properties, finite sample performance, power properties using simulation and application to real data presented. A major advantage of the proposed inference procedure i...
|Authors and Corporations:||, ,|
|Other Authors:||Dunsmuir, William , Peters, Gareth W.|
|Type of Resource:||E-Book|
[S.l.] SSRN