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Hawkes and INAR(∞) processes

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  • Kirchner, Matthias

Abstract

In this paper, we discuss integer-valued autoregressive time series (INAR), Hawkes point processes, and their interrelationship. Besides presenting structural analogies, we derive a convergence theorem. More specifically, we generalize the well-known INAR(p), p∈N, time series model to a corresponding model of infinite order: the INAR(∞) model. We establish existence, uniqueness, finiteness of moments, and give formulas for the autocovariance function as well as for the joint moment-generating function. Furthermore, we derive a branching-process–as well as an AR(∞)–and an MA(∞) representation for the model. We compare Hawkes process properties with their INAR(∞) counterparts. Given a Hawkes process N, in the main theorem of the paper we construct an INAR(∞)-based family of point processes and prove its convergence to N. This connection between INAR and Hawkes models will be relevant in applications.

Suggested Citation

  • Kirchner, Matthias, 2016. "Hawkes and INAR(∞) processes," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2494-2525.
    • Handle: RePEc:eee:spapps:v:126:y:2016:i:8:p:2494-2525
    DOI: 10.1016/j.spa.2016.02.008
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    1. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
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    Cited by:

    1. Benjamin Favetto, 2019. "The European intraday electricity market : a modeling based on the Hawkes process," Working Papers hal-02089289, HAL.
    2. Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023. "A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations," LSE Research Online Documents on Economics 112222, London School of Economics and Political Science, LSE Library.
    3. Yang Lu, 2021. "The predictive distributions of thinning‐based count processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 42-67, March.
    4. Schatz, Michael & Wheatley, Spencer & Sornette, Didier, 2022. "The ARMA Point Process and its Estimation," Econometrics and Statistics, Elsevier, vol. 24(C), pages 164-182.
    5. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.

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