Statistical inference for a partially observed interacting system of Hawkes processes

Chenguang Liu

Abstract:

We observe the actions of a $K$ sub-sample of $N$ individuals up to time $t$ for some large $K\le N$.
We model the relationships of individuals by i.i.d. Bernoulli($p$)-random variables, where $p\in (0,1]$ is an unknown parameter. The rate of action of each individual depends on some unknown parameter $\mu> 0$ and
on the sum of some function $\phi$ of the ages of the actions of the individuals which influence him. The function $\phi$ is unknown but we assume it rapidly decays. The aim of this paper is to estimate the parameter $p$ asymptotically as $N\to \infty$, $K\to \infty$, and $t\to \infty$. Let $m_t$ be the average number of actions per individual up to time $t$.
In the subcritical case, where $m_t$ increases linearly, we build an estimator of $p$ with the rate
of convergence $\frac{1}{\sqrt{K}}+\frac{N}{m_t\sqrt{K}}+\frac{N}{K\sqrt{m_t}}$.
In the supercritical case, where $m_{t}$ increases exponentially fast, we build an estimator of $p$
with the rate of convergence $\frac{1}{\sqrt{K}}+\frac{N}{m_{t}\sqrt{K}}$.