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arXiv · 2106.13459

Convergence of the Discrete-Time Compound Hawkes Processwith Exponential or Erlang Kernel

Lorick Huang·Mahmoud Khabou
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Abstract

Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired on regular time intervals, we propose a piece-wise constant model based on a Discrete-Time Hawkes Process (DTHP). We prove that this discrete-time model converges to the usual continuous-time Hawkes process as the time-step tends to zero.

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Lorick Huang, Mahmoud Khabou. 2021-06-25. Convergence of the Discrete-Time Compound Hawkes Processwith Exponential or Erlang Kernel. https://arxiv.org/abs/2106.13459

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