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Gaussian approximation of nonlinear Hawkes processes
- Source :
- Annals of Applied Probability 2016, Vol. 26, No. 4, 2106-2140
- Publication Year :
- 2016
-
Abstract
- We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing quantitative central limit theorems.<br />Comment: Published at http://dx.doi.org/10.1214/15-AAP1141 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
- Subjects :
- Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Journal :
- Annals of Applied Probability 2016, Vol. 26, No. 4, 2106-2140
- Publication Type :
- Report
- Accession number :
- edsarx.1609.08899
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1214/15-AAP1141