A non-local estimator for locally stationary Hawkes processes

Abstract

We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the standard maximum likelihood estimator (MLE), coinciding with the conventional approach for stationary point processes characterised by [Ogata, 1978]. In the fully parametric setting, we find that the MLE over a single observation of the process over $[0, T]$ remains consistent and asymptotically normal as $T \to \infty$. Our results extend partially to the semi-nonparametric setting where no specific shape is assumed for the reproduction rate $g \colon [0, 1] \mapsto \mathbb{R}_+$. We construct a time invariance test with null hypothesis that g is constant against the alternative that it is not, and find that it remains consistent over the whole space of continuous functions of [0, 1]. As an application, we employ our procedure in the context of the German intraday power market, where we provide evidence of fluctuations in the endogeneity rate of the order flow.