Central Limit Theorem for Nonlinear Hawkes Processes

Lingjiong Zhu

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arXiv · 1204.1067

Central Limit Theorem for Nonlinear Hawkes Processes

Lingjiong Zhu

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Abstract

Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional central limit theorem for nonlinear Hawkes process. Under the same assumptions, we also obtain a Strassen's invariance principle, i.e. a functional law of the iterated logarithm.

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BibTeX RIS

Lingjiong Zhu. 2014-10-14. Central Limit Theorem for Nonlinear Hawkes Processes. https://arxiv.org/abs/1204.1067

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