Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154503 | Statistics & Probability Letters | 2015 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Youngsoo Seol,