Large and moderate deviations for a discrete-time marked Hawkes process

Haixu Wang

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arXiv · 2003.05772

Large and moderate deviations for a discrete-time marked Hawkes process

Haixu Wang

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Abstract

The Hawkes process is a simple point process with wide applications in finance, social networks, criminology, seismology, and many other fields. The Hawkes process is defined for continuous-time setting. However, data is also recorded in a discrete-time scheme. In this paper, we study a discrete-time marked Hawkes process first proposed in (Xu et al., 2020), which is appealing for applications. In particular, we study large and moderate deviations for the model.

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Haixu Wang. 2020-03-11. Large and moderate deviations for a discrete-time marked Hawkes process. https://arxiv.org/abs/2003.05772

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