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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...

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Bibliographic Details
Authors and Corporations: Richards, Kylie-Anne (Author), Dunsmuir, William (Other), Peters, Gareth W. (Other)
Other Authors: Dunsmuir, William , Peters, Gareth W.
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2020]
Source: Verbunddaten SWB
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