Bootstrap Inference for Hawkes and General Point Processes
Research output: Contribution to journal › Journal article › Research › peer-review
Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an alternative, and to improve finite sample performance, this paper considers bootstrap-based inference for interval estimation and testing. Specifically, for a wide class of point process models we consider a novel bootstrap scheme labeled ‘fixed intensity bootstrap’ (FIB), where the conditional intensity is kept fixed across bootstrap repetitions. The FIB, which is very simple to implement and fast in practice, extends previous ideas from the bootstrap literature on time series in discrete time, where the so-called ‘fixed design’ and ‘fixed volatility’ bootstrap schemes have shown to be particularly useful and effective. We compare the FIB with the classic recursive bootstrap, which is here labeled ‘recursive intensity bootstrap’ (RIB). In RIB algorithms, the intensity is stochastic in the bootstrap world and implementation of the bootstrap is more involved, due to its sequential structure. For both bootstrap schemes, we provide new bootstrap (asymptotic) theory which allows to assess bootstrap validity, and propose a ‘non-parametric’ approach based on resampling time-changed transformations of the original waiting times. We also establish the link between the proposed bootstraps for point process models and the related autoregressive conditional duration (ACD) models. Lastly, we show effectiveness of the different bootstrap schemes in finite samples through a set of detailed Monte Carlo experiments, and provide applications to both financial data and social media data to illustrate the proposed methodology.
|Journal||Journal of Econometrics|
|Publication status||Published - 2023|
- Faculty of Social Sciences - Bootstrap Theory, Hawkes processes, Point processes, Twitter Data, Power law model, ACD models