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arXiv · 1609.08899

Gaussian approximation of nonlinear Hawkes processes

Giovanni Luca Torrisi
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Abstract

We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing quantitative central limit theorems.

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Giovanni Luca Torrisi. 2016-09-28. Gaussian approximation of nonlinear Hawkes processes. https://doi.org/10.1214/15-aap1141

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