Laws of large numbers in self-correcting point processes

For a point process N(Â·) with the conditional intensity function [psi](t> - N(t)), the process t - N(t) has the Markov property, where [psi](Â·) is a function satisfying suitable conditions. It follows from the properties of [psi](Â·) that the Markov process t - N(t) is ergodic (i.e. positive recurrent). This result leads to the law of large numbers for functionals of the Markov process t - N(t).

MoreLess

Year of publication:	1986
Authors:	Hayashi, T.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 23.1986, 2, p. 319-326
Publisher:	Elsevier
Keywords:	conditional intensity law of large numbers self-correcting point process weighted time average

More details

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

Persistent link: https://www.econbiz.de/10008873862