Proves convergence in law of normalized empirical measures and counting processes for critical marked Hawkes processes to stable or Gaussian limits depending on mark tail behavior, using a new robust method for self-exciting systems.
Ogata, Statistical Models for Earthquake Occurrences and Residual Analysis for Point Processes, Journal of the American Statistical Association, Vol
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A generalized central limit theorem for critical marked Hawkes processes
Proves convergence in law of normalized empirical measures and counting processes for critical marked Hawkes processes to stable or Gaussian limits depending on mark tail behavior, using a new robust method for self-exciting systems.