Limit properties of continuous self-exciting processes

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We introduce a self-exciting continuous process based on Brownian motion, and derive its limit properties. We find conditions when the limit behaviors of the given process and its associated Hawkes process agree. The Kolmogorov-Smirnov test was applied to check the statistical similarity of the two processes. (C) 2019 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER
Issue Date
2019-12
Language
English
Article Type
Article
Citation

STATISTICS & PROBABILITY LETTERS, v.155, pp.108558

ISSN
0167-7152
DOI
10.1016/j.spl.2019.108558
URI
http://hdl.handle.net/10203/267947
Appears in Collection
MA-Journal Papers(저널논문)
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