4 papers · 1 filter
Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters +1
The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-square…
Detecting Serial Dependence in Binomial Time Series II: Observation Driven Models
W. T. M. Dunsmuir, J. Y. He
The detection of serial dependence in binary or binomial valued time series is difficult using standard time series methods, particularly when there are regression effects to be mo…
Testing for Serial Dependence in Binomial Time Series I: Parameter Driven Models
W. T. M. Dunsmuir, J. Y. He
Binomial time series in which the logit of the probability of success is modelled as a linear function of observed regressors and a stationary latent Gaussian process are considere…
Marginal Estimation of Parameter Driven Binomial Time Series Models
W. T. M. Dunsmuir, J. Y. He
This paper develops asymptotic theory for estimation of parameters in regression models for binomial response time series where serial dependence is present through a latent proces…