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- W4293399263 abstract "In this paper, following Nourdin-Peccati's methodology, we combine the Malliavin calculus and Stein's method to provide general bounds on the Wasserstein distance between functionals of a compound Hawkes process and a given Gaussian density. To achieve this, we rely on the Poisson embedding representation of an Hawkes process to provide a Malliavin calculus for the Hawkes processes, and more generally for compound Hawkes processes. As an application, we close a gap in the literature by providing the first Berry-Ess'een bounds associated to Central Limit Theorems for the compound Hawkes process." @default.
- W4293399263 created "2022-08-28" @default.
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- W4293399263 date "2021-04-04" @default.
- W4293399263 modified "2023-10-05" @default.
- W4293399263 title "The Malliavin-Stein method for Hawkes functionals" @default.
- W4293399263 doi "https://doi.org/10.48550/arxiv.2104.01583" @default.
- W4293399263 hasPublicationYear "2021" @default.
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