Proves consistency and asymptotic normality of the Whittle estimator for stationary multivariate Hawkes processes under the spectral radius condition alone, plus a frequency-domain test for subprocess independence.
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Spectral analysis of multivariate stationary Hawkes processes
Proves consistency and asymptotic normality of the Whittle estimator for stationary multivariate Hawkes processes under the spectral radius condition alone, plus a frequency-domain test for subprocess independence.