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Strong mixing condition for Hawkes processes and application to Whittle estimation from count data

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 نشر من قبل Felix Cheysson
 تاريخ النشر 2020
  مجال البحث الاحصاء الرياضي
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 تأليف Felix Cheysson




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This paper focuses on the time series generated by the event counts of stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, existing methods of estimation are not applicable. We first establish a strong mixing condition with polynomial decay rate for Hawkes processes, from their Poisson cluster structure. This allows us to propose a spectral approach to the estimation of Hawkes processes, based on Whittles method, which provides consistent and asymptotically normal estimates under common regularity conditions on their reproduction kernels. Simulated datasets and a case-study illustrate the performances of the estimation, notably of the Hawkes reproduction mean and kernel when time intervals are relatively large.



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