Regenerative properties of the linear hawkes process with unbounded memory

TL;DR

This paper establishes regenerative properties for the linear Hawkes process with unbounded memory, enabling new statistical and asymptotic analyses through explicit bounds and queue interpretations.

Contribution

It proves regenerative properties under minimal assumptions, interprets regeneration times via queue theory, and derives explicit bounds for statistical applications.

Findings

Regeneration times are not stopping times but can be characterized via queue models.

Explicit bounds on Laplace transforms of regeneration times are obtained.

Results facilitate long-term statistical and asymptotic analysis of Hawkes processes.

Abstract

We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit independence in the Poisson cluster point process decomposition, and the regeneration times are not stopping times for the Hawkes process. The regeneration time is interpreted as the renewal time at zero of a M/G/infinity queue, which yields a formula for its Laplace transform. When the transfer function admits some exponential moments, we stochastically dominate the cluster length by exponential random variables with parameters expressed in terms of these moments. This yields explicit bounds on the Laplace transform of the regeneration time in terms of simple integrals or special functions yielding an explicit negative upper-bound on its abscissa of convergence. These regenerative results allow, e.g., to systematically derive long-time asymptotic results in view of statistical applications. This is illustrated on a concentration inequality previously obtained with coauthors.