A test for self-exciting clustering mechanism

In this paper, we propose a test to distinguish between data with cluster pattern where the variables are dependent in a self-exciting fashion versus independently identically distributed random variables. We also developed asymptotic distribution of the test statistic with closed-form covariance structure. Comparisons with scan statistics are discussed in the context of simulated earthquake data. Applications to two data sets are discussed.

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Year of publication:	2011
Authors:	Fama, Yuchen ; Pozdnyakov, Vladimir
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 10, p. 1541-1546
Publisher:	Elsevier
Keywords:	Asymptotic normality Exponential family Self-exciting Cluster detection Scan statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143274