Spectral estimation of Hawkes processes from count data
The Annals of Statistics · 2022 · Volume 50 · Issue 3
Abstract
This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, methods based on the likelihood are not feasible. We show that spectral estimation based on Whittle’s method is adapted to this case and provides consistent and asymptotically normal estimators, provided a mild moment condition on the reproduction function. Simulated data sets and a case-study illustrate the performances of the estimation, notably of the reproduction function even when time intervals are relatively large.
Keywords
37A25, 60G55, 62M15, count data, Hawkes process, spectral estimation, Strong mixing, Whittle method
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