Locally stationary Hawkes processes

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Second Order Properties of Locally Stationary Processes

In this paper we investigate an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second order approximation. In the case where the model is correctly specified, it is shown that appropriate modifications of the maximum likelihood estimator for Gaussian locally stationary processes is second order asymptotically efficient. We discuss second ord...

متن کامل

Forecasting Using Locally Stationary Wavelet Processes

Locally stationary wavelet (LSW) processes, built on non-decimated wavelets, can be used to analyze and forecast non-stationary time series. They have been proved useful in the analysis of financial data. In this paper we first carry out a sensitivity analysis, then propose some practical guidelines for choosing the wavelet bases for these processes. The existing forecasting algorithm is found ...

متن کامل

Spectral decomposition of locally stationary random processes

The notion of a locally stationary process is introduced by Silverman in [ l j . This is a new kind of a random process generalizing the notion of a weakly station­ ary process. Let {x(t)}, teR1bsa random process, generally complex, with vanishing mean value and finite covariance function R(s, t) = E{x(s) x(r)} on Wj x Mu where x(t) is the complex conjugate to x(r). The author of [ l j says tha...

متن کامل

Isotonic Hawkes Processes

0 g⇤(w⇤ ·xt)dt = P j2Si aijg ⇤ (w⇤ ·xj). Set y⇤ i = g ⇤ (w⇤ ·xi) to be the expected value of each yi. Let ̄ Ni be the expected value of Ni. Then we have ̄ Ni = P j2Si aijy ⇤ j . Clearly we do not have access to ̄ Ni. However, consider a hypothetical call to the algorithm with input {(xi, ̄ Ni)}i=1 and suppose it returns ḡk. In this case, we define ȳk i = ḡk(w̄k · xi). Next we begin the proof and int...

متن کامل

Hawkes processes in finance

In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review th...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 2016

ISSN: 0304-4149

DOI: 10.1016/j.spa.2015.12.003