Central Limit Theorem for Nonlinear Hawkes Processes
نویسندگان
چکیده
منابع مشابه
Central Limit Theorem for Nonlinear Hawkes Processes
Hawkes process is a self-exciting point process with clustering effect whose jump rate depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. Linear Hawkes process has an immigration-birth representation and can be computed more or less explicitly. It has been extensively studied in the past and the limit theorems are well understood. On the...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2013
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200009827