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Convergence of the Discrete-Time Compound Hawkes Process with Exponential or Erlang Kernel

Abstract : Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired on regular time intervals, we propose a piece-wise constant model based on a Discrete-Time Hawkes Process (DTHP). We prove that this discrete-time model converges to the usual continuous-time Hawkes process as the time-step tends to zero.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-03220800
Contributor : Mahmoud Khabou Connect in order to contact the contributor
Submitted on : Thursday, June 24, 2021 - 10:51:12 AM
Last modification on : Tuesday, October 19, 2021 - 11:17:38 PM
Long-term archiving on: : Saturday, September 25, 2021 - 6:02:55 PM

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  • HAL Id : hal-03220800, version 1
  • ARXIV : 2106.13459

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Lorick Huang, Mahmoud Khabou. Convergence of the Discrete-Time Compound Hawkes Process with Exponential or Erlang Kernel. 2021. ⟨hal-03220800⟩

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