First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.
Circular dependence, Correlation, Correlation matrix, Correlation methods, Covariance matrices, Discrete-event systems, Earthquakes, Earthquakes occurrence dynamics, Estimation, Estimation error, Financial markets, First-order statistics characterization, Hawkes kernel matrix, High-frequency trading events, Integral equations, Inverse problems, Kernel, Mathematical model, Matrix algebra, Microstructure, Monovariate processes, Multivariate Hawkes process, Multivariate point processes, Nonparametric estimation procedure, Nonpositive kernels, Numerical inversion, Power-law, Second-order statistics characterization, Shape, Statistical analysis, Stochastic processes, Three-variate processes, Wiener-Hopf integral equations
