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Functional limit theorems for marked Hawkes point measures

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  • Horst, Ulrich
  • Xu, Wei

Abstract

This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated in distribution by the sum of a Gaussian white noise process plus an appropriate lifting map of a correlated one-dimensional Brownian motion. The Brownian motion results from the self-exciting arrivals of events. We apply our limit theorems for Hawkes point measures to analyze the population dynamics of budding microbes in a host as well as their interaction with that host.

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  • Horst, Ulrich & Xu, Wei, 2021. "Functional limit theorems for marked Hawkes point measures," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 94-131.
    • Handle: RePEc:eee:spapps:v:134:y:2021:i:c:p:94-131
    DOI: 10.1016/j.spa.2020.12.002
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    References listed on IDEAS

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    Cited by:

    1. Ulrich Horst & Wei Xu, 2024. "Functional Limit Theorems for Hawkes Processes," Papers 2401.11495, arXiv.org, revised Dec 2024.
    2. Li, Bo & Pang, Guodong, 2022. "Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 285-339.
    3. Wang, Haixu, 2022. "Limit theorems for a discrete-time marked Hawkes process," Statistics & Probability Letters, Elsevier, vol. 184(C).

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