A new Hawkes autoregressive process combines Hawkes and autoregressive dynamics, with proofs of a stationary version, cluster representation, stability, and ergodicity.
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Hawkes autoregressive processes: a new model for multiscale and heterogeneous processes
A new Hawkes autoregressive process combines Hawkes and autoregressive dynamics, with proofs of a stationary version, cluster representation, stability, and ergodicity.