Hawkes process with a diffusion-driven baseline: long-run behavior, inference, statistical tests

TL;DR

This paper introduces a new class of Hawkes processes modulated by diffusion processes to model systems influenced by evolving external factors, establishing their theoretical properties and inference methods.

Contribution

It develops a diffusion-driven Hawkes process framework, proving stability, ergodicity, and deriving inference procedures including maximum likelihood estimation and hypothesis testing.

Findings

Proves stability and ergodicity of the coupled process

Establishes consistency and asymptotic normality of MLE

Validates inference methods through simulation studies

Abstract

Event-driven systems in fields such as neuroscience, social networks, and finance often exhibit dynamics influenced by continuously evolving external covariates. Motivated by these applications, we introduce a new class of multivariate Hawkes processes, in which the spontaneous rate of events is modulated by a diffusion process. This framework allows the point process to adapt dynamically to continuously evolving covariates, capturing both intrinsic self-excitation and external influences. In this article, we establish the probabilistic properties of the coupled process, proving stability and ergodicity under moderate assumptions. Classical functional results, including law of large numbers and mixing properties, are extended to this diffusion-driven setting. Building on these results, we study parametric inference for the Hawkes component: we derive consistency and asymptotic normality of the maximum likelihood estimator in the long-time regime, and derive stronger convergence results under additional assumptions on the covariate process. We further propose hypothesis testing procedures to assess the statistical relevance of the covariate. Simulation studies illustrate the validity of the asymptotic results and the effectiveness of the proposed inference methods. Overall, this work provides theoretical and practical foundations for diffusion-driven Hawkes models.