most citedScaling limits for Hawkes processes and application to financial statistics

57 citations · 57 across the 4 of their papers we have counts for

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math.PR2012

Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation

Sylvain Delattre, Mathieu Rosenbaum

We consider the following statistical problem: based on an i.i.d.sample of size n of integer valued random variables with common law m, is it possible to test whether or not the su…

math.PR2012★ 57 cited

Scaling limits for Hawkes processes and application to financial statistics

Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann +1

We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval in the limit .…