A0166
Title: Statistical inference for the doubly stochastic self-exciting process
Authors: Simon Clinet - Keio University (Japan)
Yoann Potiron - Keio University (Japan) [presenting]
Abstract: The aim is to introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter, and we consider the high-frequency asymptotics. To estimate it naively, we chop the data into several blocks, compute the maximum likelihood estimator (MLE) on each block, and take the average of the local estimates. The asymptotic bias explodes asymptotically, thus we provide a non-naive estimator which is constructed as the naive one when applying a first-order bias reduction to the local MLE. We show the associated central limit theorem. Monte Carlo simulations show the importance of the bias correction and that the method performs well in finite sample, whereas the empirical study discusses the implementation in practice and documents the stochastic behavior of the parameters.
