First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
Résumé
no abstract
Mots clés
correlation methods
integral equations
matrix algebra
statistical analysis
Hawkes kernel matrix
Wiener-Hopf integral equations
circular dependence
correlation matrix
earthquakes occurrence dynamics
estimation error
financial markets
first-order statistics characterization
high-frequency trading events
monovariate processes
multivariate Hawkes process
nonparametric estimation procedure
nonpositive kernels
numerical inversion
power-law
second-order statistics characterization
three-variate processes
Correlation
Kernel
Mathematical model
Shape
Stochastic processes
covariance matrices
discrete-event systems
earthquakes
estimation
inverse problems
microstructure
multivariate point processes