Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129697 | Statistics & Probability Letters | 2017 | 8 Pages |
Abstract
This paper focuses on limit theorems for the compensator of linear Hawkes processes. The compensator process is one of the main tools to work on the dynamical properties of a general point process and is of essential interest in credit risk study in particular. We prove a large deviation principle for the compensator of Hawkes processes. Law of large numbers and a central limit theorem are also obtained.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Youngsoo Seol,