Nonparametric estimation of locally stationary Hawkes processes
Work
Year: 2023
Type: article
Abstract: In this paper we consider multivariate Hawkes processes with baseline conditional intensities and reproduction functions that depend on time. This defines a class of locally stationary processes. We d... more
Source: Bernoulli
Authors Enno Mammen, M. Müller
Institution Heidelberg University
Cites: 22
Cited by: 1
Related to: 10
FWCI: 0.808
Citation percentile (by year/subfield): 57.28
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Climate action
Open Access status: green