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math.ST2026
Spectral analysis of multivariate stationary Hawkes processes
Yifu Tang, Conor Kresin, Boris Baeumer +1
We establish the asymptotic validity of frequency-domain inference for stationary multivariate Hawkes processes under mild conditions, bridging the gap between theory and applicati…
math.ST2024
Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations
Claudia Kirch, Alexander Meier, Renate Meyer +1
This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a param…