Gaussian approximation of nonlinear Hawkes processes
arXiv:1609.08899 · doi:10.1214/15-AAP1141
Abstract
We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing quantitative central limit theorems.
Published at http://dx.doi.org/10.1214/15-AAP1141 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)