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تسجيل مستخدم جديدNonparametric estimation of locally stationary Hawkes processe
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تأليف
Enno Mammen
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In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and kernel functions based on a localized criterion. Theory on stationary Hawkes processes is extended to develop asymptotic theory for the estimator in the locally stationary model.
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