On goodness‐of‐fit testing for self‐exciting point processes
Year: 2025
Type: article
Abstract: Despite the wide usage of parametric point processes in theory and applications, a sound goodness‐of‐fit procedure to test whether a given parametric model is appropriate for data coming from a self‐exciting point process has been missing in the literature. In this work, we establish a bootstrap‐based goodness‐of‐fit test that empirically works for all kinds of self‐exciting point processes (and even beyond). In an infill‐asymptotic setting, we also prove its asymptotic consistency, albeit only in the particular case that the underlying point process is inhomogeneous Poisson.
DOI: 10.1111/sjos.70029
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $3,500
OpenAlex ID: W4416101146