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Time-Frequency Analysis of Hawkes Processes by Person Persons is a document available to read on EtoBox.
This document presents a method for time-frequency analysis of locally stationary Hawkes processes. The authors develop a nonparametric estimation theory to estimate the local mean density and local Bartlett spectrum of a locally stationary Hawkes process. Their kernel estimation approach localizes estimates in both time and frequency, allowing for time-varying features to be revealed in transaction time data from two financial assets. The authors introduce necessary background on locally stationary Hawkes
- Author
- Person Persons
- Language
- EN