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- W4302409726 abstract "Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order structure. This class of self-exciting point processes has recently attracted a lot of interest in applications in the life sciences (seismology, genomics, neuro-science,...), but also in the modelling of high-frequency financial data. In this contribution we provide a fully developed nonparametric estimation theory of both local mean density and local Bartlett spectra of a locally stationary Hawkes process. In particular we apply our kernel estimation of the spectrum localised both in time and frequency to two data sets of transaction times revealing pertinent features in the data that had not been made visible by classical non-localised approaches based on models with constant fertility functions over time." @default.
- W4302409726 created "2022-10-06" @default.
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- W4302409726 date "2017-04-05" @default.
- W4302409726 modified "2023-09-30" @default.
- W4302409726 title "Time-frequency analysis of locally stationary Hawkes processes" @default.
- W4302409726 doi "https://doi.org/10.48550/arxiv.1704.01437" @default.
- W4302409726 hasPublicationYear "2017" @default.
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