Mixing properties for multivariate Hawkes processes - Archive ouverte HAL
Pré-Publication, Document De Travail (Preprint/Prepublication) Année : 2023

Mixing properties for multivariate Hawkes processes

Résumé

Properties of strong mixing have been established for the stationary linear Hawkes process in the univariate case, and can serve as a basis for statistical applications. In this paper, we provide the technical arguments needed to extend the proof to the multivariate case. We illustrate these properties by establishing a functional central limit theorem for multivariate Hawkes processes.
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Dates et versions

hal-04292822 , version 1 (17-11-2023)

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Ousmane Boly, Felix Cheysson, Thi Hien Nguyen. Mixing properties for multivariate Hawkes processes. 2023. ⟨hal-04292822⟩
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