Limit theorems for discrete Hawkes processes

作者：Seol Youngsoo^*

来源：Statistics & Probability Letters, 2015, 99: 223-229.

DOI：10.1016/j.spl.2015.01.023

• Discrete Hawkes processes
• Self-exciting processes
• Central limit theorems
• Law of large numbers
• Invariance principles

We consider discrete time Hawkes process which is a class of g-functions. The limit theorems for continuous time Hawkes processes are well known and studied by many authors. In this paper, we study the limit theorems for discrete time Hawkes processes. In particular, we obtain the law of large number, the central limit theorem and the invariance principle.

• 出版日期2015-4