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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…