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Nonparametric estimation of locally stationary Hawkes processe (1707.04469v1)
Published 14 Jul 2017 in math.ST and stat.TH
Abstract: In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and kernel functions based on a localized criterion. Theory on stationary Hawkes processes is extended to develop asymptotic theory for the estimator in the locally stationary model.