Moderate deviations for Hawkes processes

In this paper, we obtain a moderate deviation principle for a class of point processes, i.e. linear Hawkes processes.

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Bibliographic Details
Published in:Statistics & probability letters 2013-03, Vol.83 (3), p.885-890
Main Author: Zhu, Lingjiong
Format: Article
Language:English
Subjects:
Hawkes processes
Large deviations
Moderate deviations
Point processes
Self-exciting processes
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Description
Summary:In this paper, we obtain a moderate deviation principle for a class of point processes, i.e. linear Hawkes processes.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2012.12.011