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arXiv 2311.11730math.STstat.TH

多元Hawkes过程的混合性质

Mixing properties for multivariate Hawkes processes

Ousmane Boly, Felix Cheysson, Thi Hien Nguyen

AI总结:

本文提供了将平稳线性Hawkes过程的强混合性质证明扩展到多元情形的技术论证,并通过建立泛函中心极限定理加以说明。

摘要:

强混合性质已在单变量情形下针对平稳线性Hawkes过程建立,并可作为统计应用的基础。本文提供了将证明扩展到多元情形所需的技术论证。我们通过为多元Hawkes过程建立泛函中心极限定理来说明这些性质。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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