On goodness-of-fit testing for self-exciting point processes
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866914867603046400 |
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| author | Kling, José C. F. Vetter, Mathias |
| author_facet | Kling, José C. F. Vetter, Mathias |
| contents | Despite the wide usage of parametric point processes in theory and applications, a sound goodness-of-fit procedure to test whether a given parametric model is appropriate for data coming from a self-exciting point processes has been missing in the literature. In this work, we establish a bootstrap-based goodness-of-fit test which empirically works for all kinds of self-exciting point processes (and even beyond). In an infill-asymptotic setting we also prove its asymptotic consistency, albeit only in the particular case that the underlying point process is inhomogeneous Poisson. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2407_09130 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On goodness-of-fit testing for self-exciting point processes Kling, José C. F. Vetter, Mathias Statistics Theory Methodology Despite the wide usage of parametric point processes in theory and applications, a sound goodness-of-fit procedure to test whether a given parametric model is appropriate for data coming from a self-exciting point processes has been missing in the literature. In this work, we establish a bootstrap-based goodness-of-fit test which empirically works for all kinds of self-exciting point processes (and even beyond). In an infill-asymptotic setting we also prove its asymptotic consistency, albeit only in the particular case that the underlying point process is inhomogeneous Poisson. |
| title | On goodness-of-fit testing for self-exciting point processes |
| topic | Statistics Theory Methodology |
| url | https://arxiv.org/abs/2407.09130 |