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May 2019 Time-frequency analysis of locally stationary Hawkes processes
François Roueff, Rainer von Sachs
Bernoulli 25(2): 1355-1385 (May 2019). DOI: 10.3150/18-BEJ1023


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 modeling 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.


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François Roueff. Rainer von Sachs. "Time-frequency analysis of locally stationary Hawkes processes." Bernoulli 25 (2) 1355 - 1385, May 2019.


Received: 1 April 2017; Revised: 1 January 2018; Published: May 2019
First available in Project Euclid: 6 March 2019

zbMATH: 07049409
MathSciNet: MR3920375
Digital Object Identifier: 10.3150/18-BEJ1023

Rights: Copyright © 2019 Bernoulli Society for Mathematical Statistics and Probability


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Vol.25 • No. 2 • May 2019
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