Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J.F. - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2475-2499
In the context of statistics for random processes, we prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0,T] when T→∞. We further exhibit the asymptotic behaviour of the covariation of the increments of the...
