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Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

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Authors and Corporations: Clinet, Simon (Author), Dunsmuir, William (Other), Peters, Gareth (Other), Richards, Kylie-Anne (Other)
Other Authors: Dunsmuir, William [Other] • Peters, Gareth [Other] • Richards, Kylie-Anne [Other]
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2019]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-squared. For local asymptotic power, the distribution against local alternatives is also established as non-central chi-squared. These asymptotic results are derived using existing asymptotic results for likelihood estimates of the unmarked Hawkes process model together with mild additional conditions on the moments and ergodicity of the marks process and an additional uniform boundedness assumption, shown to be true for the exponential decay Hawkes process
Item Description: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 30, 2019 erstellt
Physical Description: 1 Online-Ressource (34 p)
DOI: 10.2139/ssrn.3380754
Access: Open Access