Limit properties of continuous self-exciting processes
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Gunhee | ko |
| dc.contributor.author | Choe, Geon Ho | ko |
| dc.date.accessioned | 2019-10-14T06:20:04Z | - |
| dc.date.available | 2019-10-14T06:20:04Z | - |
| dc.date.created | 2019-09-19 | - |
| dc.date.created | 2019-09-19 | - |
| dc.date.created | 2019-09-19 | - |
| dc.date.issued | 2019-12 | - |
| dc.identifier.citation | STATISTICS & PROBABILITY LETTERS, v.155, pp.108558 | - |
| dc.identifier.issn | 0167-7152 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/267947 | - |
| dc.description.abstract | 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. | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER | - |
| dc.title | Limit properties of continuous self-exciting processes | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000487569400007 | - |
| dc.identifier.scopusid | 2-s2.0-85070486949 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 155 | - |
| dc.citation.beginningpage | 108558 | - |
| dc.citation.publicationname | STATISTICS & PROBABILITY LETTERS | - |
| dc.identifier.doi | 10.1016/j.spl.2019.108558 | - |
| dc.contributor.localauthor | Choe, Geon Ho | - |
| dc.contributor.nonIdAuthor | Kim, Gunhee | - |
| dc.description.isOpenAccess | N | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | Self exciting process | - |
| dc.subject.keywordAuthor | Hawkes process | - |
| dc.subject.keywordAuthor | Limit property | - |
| dc.subject.keywordAuthor | Brownian motion | - |
| dc.subject.keywordPlus | HAWKES | - |
| dc.subject.keywordPlus | DEVIATIONS | - |
| dc.subject.keywordPlus | MODELS | - |
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