Limit properties of continuous self-exciting processes

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 138
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorKim, Gunheeko
dc.contributor.authorChoe, Geon Hoko
dc.date.accessioned2019-10-14T06:20:04Z-
dc.date.available2019-10-14T06:20:04Z-
dc.date.created2019-09-19-
dc.date.created2019-09-19-
dc.date.issued2019-12-
dc.identifier.citationSTATISTICS & PROBABILITY LETTERS, v.155, pp.108558-
dc.identifier.issn0167-7152-
dc.identifier.urihttp://hdl.handle.net/10203/267947-
dc.description.abstractWe introduce a self-exciting continuous process based on Brownian motion, and derive its limit properties. We find conditions when the limit behaviors of the given process and its associated Hawkes process agree. The Kolmogorov-Smirnov test was applied to check the statistical similarity of the two processes. (C) 2019 Elsevier B.V. All rights reserved.-
dc.languageEnglish-
dc.publisherELSEVIER-
dc.titleLimit properties of continuous self-exciting processes-
dc.typeArticle-
dc.identifier.wosid000487569400007-
dc.identifier.scopusid2-s2.0-85070486949-
dc.type.rimsART-
dc.citation.volume155-
dc.citation.beginningpage108558-
dc.citation.publicationnameSTATISTICS & PROBABILITY LETTERS-
dc.identifier.doi10.1016/j.spl.2019.108558-
dc.contributor.localauthorChoe, Geon Ho-
dc.contributor.nonIdAuthorKim, Gunhee-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorSelf exciting process-
dc.subject.keywordAuthorHawkes process-
dc.subject.keywordAuthorLimit property-
dc.subject.keywordAuthorBrownian motion-
dc.subject.keywordPlusHAWKES-
dc.subject.keywordPlusDEVIATIONS-
dc.subject.keywordPlusMODELS-
Appears in Collection
MA-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0