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Mixing properties for multivariate Hawkes processes

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arxiv 2311.11730 v1 pith:HWCICTRW submitted 2023-11-20 math.ST stat.TH

Ousmane Boly (AGM - UMR 8088) , Felix Cheysson (LAMA) , Thi Hien Nguyen (AGM - UMR 8088) This is my paper · ORCID
classification math.STstat.TH
keywords hawkesmultivariatepropertiescasemixingprocessesapplicationsarguments
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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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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Exponential Tail Estimates for Multitype Poisson Branching Processes and Application to Hawkes Processes

    math.PR 2025-07 accept novelty 6.0 of 10

    Explicit exponential moment and tail estimates for multitype Poisson branching trees, Hawkes process clusters, and inhomogeneous Poisson clusters, with an exact description of the parameter domain.

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