The rough Hawkes process

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-08-20 DOI:10.1080/03610926.2024.2389959

Donatien Hainaut, Jing Chen, Enrico Scalas

引用次数: 0

Abstract

This article studies the properties of Hawkes process with a gamma memory kernel and a shape parameter α∈(0,1]. This process, called rough Hawkes process, is nearly unstable since its intensity div...

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粗略的霍克斯过程

本文研究了具有伽马记忆核和形状参数α∈(0,1]的霍克斯过程的性质。这个过程被称为粗糙霍克斯过程，几乎是不稳定的，因为它的强度分...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.