{"title":"The rough Hawkes process","authors":"Donatien Hainaut, Jing Chen, Enrico Scalas","doi":"10.1080/03610926.2024.2389959","DOIUrl":null,"url":null,"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...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"124 1","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2024-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Statistics - Theory and Methods","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610926.2024.2389959","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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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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