On goodness-of-fit testing for self-exciting point processes

TL;DR

This paper develops a bootstrap-based goodness-of-fit test for self-exciting point processes, providing a practical tool for model validation with proven asymptotic consistency in specific cases.

Contribution

It introduces a novel bootstrap-based goodness-of-fit procedure applicable to various self-exciting point processes, filling a gap in existing methods.

Findings

Empirically effective for all kinds of self-exciting point processes

Proven asymptotic consistency in the inhomogeneous Poisson case

Applicable beyond traditional self-exciting models

Abstract

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.