On the Bartlett spectrum of randomized Hawkes processes
Abstract
We study the Bartlett spectrum of the randomized Hawkes process and demonstrate that it behaves very differently from the case of a classical Hawkes process. In particular, the Bartlett spectrum could have a singularity near the origin which indicates a long-range dependence property.
Keywords
point process, Hawkes process, randomization, Bartlett spectrum, long-range dependence
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PDFISSN: 1331-0623 (Print), 1848-8013 (Online)