Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
34 Pages Posted: 13 May 2019
Date Written: April 30, 2019
The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-squared. For local asymptotic power, the distribution against local alternatives is also established as non-central chi-squared. These asymptotic results are derived using existing asymptotic results for likelihood estimates of the unmarked Hawkes process model together with mild additional conditions on the moments and ergodicity of the marks process and an additional uniform boundedness assumption, shown to be true for the exponential decay Hawkes process.
Keywords: Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power
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