Abstract
In this paper, we obtain a moderate deviation principle for a class of point processes, i.e.linear Hawkes processes.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 885-890 |
| Number of pages | 6 |
| Journal | Statistics and Probability Letters |
| Volume | 83 |
| Issue number | 3 |
| DOIs | |
| State | Published - Mar 2013 |
Bibliographical note
Funding Information:This research was supported partially by a grant from the National Science Foundation : DMS-0904701 , a DARPA grant, and a MacCracken Fellowship at New York University .
Keywords
- Hawkes processes
- Large deviations
- Moderate deviations
- Point processes
- Self-exciting processes