3 papers
math.ST2025
A non-local estimator for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the sta…
math.PR2025
Some limit theorems for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties…
math.ST2024
A sparsity test for multivariate Hawkes processes
Antoine Lotz
Multivariate Hawkes processes (MHP) are a class of point processes in which events at different coordinates interact through mutual excitation. The weighted adjacency matrix of the…