Nonparametric estimation of locally stationary Hawkes processe

Abstract

In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and kernel functions based on a localized criterion. Theory on stationary Hawkes processes is extended to develop asymptotic theory for the estimator in the locally stationary model.

28 pages

References in corpus (3)

• An estimation procedure for the Hawkes process
• Hawkes and INAR($\infty$) processes
• Time-frequency analysis of locally stationary Hawkes processes

Cited by in corpus (2)

• Learning Registered Point Processes from Idiosyncratic Observations
• Time-frequency analysis of locally stationary Hawkes processes