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arXiv · 1409.5353

Cumulants of Hawkes point processes

Stojan Jovanović·John Hertz·Stefan Rotter
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Abstract

We derive explicit, closed-form expressions for the cumulant densities of a multivariate, self-exciting Hawkes point process, generalizing a result of Hawkes in his earlier work on the covariance density and Bartlett spectrum of such processes. To do this, we represent the Hawkes process in terms of a Poisson cluster process and show how the cumulant density formulas can be derived by enumerating all possible "family trees", representing complex interactions between point events. We also consider the problem of computing the integrated cumulants, characterizing the average measure of correlated activity between events of different types, and derive the relevant equations.

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Stojan Jovanović, John Hertz, Stefan Rotter. 2014-09-18. Cumulants of Hawkes point processes. https://doi.org/10.1103/physreve.91.042802

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