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A Cluster Process Representation of a Self-Exciting Process
Alan G. Hawkes and David Oakes
Journal of Applied Probability
Vol. 11, No. 3 (Sep., 1974), pp. 493-503
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3212693
Page Count: 11
You can always find the topics here!Topics: Poisson process, Statism, Random variables, Stochastic processes, Zero
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It is shown that all stationary self-exciting point processes with finite intensity may be represented as Poisson cluster processes which are age-dependent immigration-birth processes, and their existence is established. This result is used to derive some counting and interval properties of these processes using the probability generating functional.
Journal of Applied Probability © 1974 Applied Probability Trust