Mixing properties for multivariate Hawkes processes

Ousmane Boly; Felix Cheysson; Thi Hien Nguyen

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arXiv · 2311.11730

Mixing properties for multivariate Hawkes processes

Ousmane Boly·Felix Cheysson·Thi Hien Nguyen

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Abstract

Properties of strong mixing have been established for the stationary linear Hawkes process in the univariate case, and can serve as a basis for statistical applications. In this paper, we provide the technical arguments needed to extend the proof to the multivariate case. We illustrate these properties by establishing a functional central limit theorem for multivariate Hawkes processes.

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Ousmane Boly, Felix Cheysson, Thi Hien Nguyen. 2023-11-20. Mixing properties for multivariate Hawkes processes. https://arxiv.org/abs/2311.11730

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