Identification of almost unstable Hawkes processes

2011/78/1 (8) — DOI: 10.5486/PMD.2011.4637 — pp. 103-126

Authors: Vilmos Prokaj and Balázs Torma

Abstract:

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Keywords: Hawkes process, self-exciting point process, stability, Fisher information

Mathematics Subject Classification: 60J60, 60F17, 60G55