Nonparametric Bayesian estimation for multivariate Hawkes processes
This paper studies nonparametric estimation of parameters of multivariate Hawkes processes. We consider the Bayesian setting and derive posterior concentration rates. First, rates are derived for L1-metrics for stochastic intensities of the Hawkes process. We then deduce rates for the L1-norm of int...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2020
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