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Biometrika 1971 58(1):83-90; doi:10.1093/biomet/58.1.83
© 1971 by Biometrika Trust
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Spectra of some self-exciting and mutually exciting point processes

ALAN G. HAWKES

University of Durham

In recent years methods of data analysis for point processes have received some attention, for example, by Cox & Lewis (1966) and Lewis (1964). In particular Bartlett (1963a, b) has introduced methods of analysis based on the point spectrum. Theoretical models are relatively sparse. In this paper the theoretical properties of a class of processes with particular reference to the point spectrum or corresponding covariance density functions are discussed. A particular result is a self-exciting process with the same second-order properties as a certain doubly stochastic process. These are not distinguishable by methods of data analysis based on these properties.

Key Words: Point process • Self-exciting point process • Spectrum of point process • Covariance density


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