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Optimal Estimating Equations for Compact-Memory Hawkes Processes
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Optimal Estimating Equations for Compact-Memory Hawkes Processes

Louis Davis and Conor Kresin
ArXiv.org
Cornell University
22/06/2026
Handle:
https://hdl.handle.net/10523/51581

Abstract

Mathematics - Statistics Theory Statistics - Theory Hawkes process compensator Godambe information generalized method of moments Poisson embedding
Likelihood is standard for Hawkes-process inference, while less computationally demanding methods have largely developed separately. We show that least squares, Takács--Fiksel, and related moment-based estimators form a single class of compensator-based estimating equations, with the likelihood score as the efficient benchmark. For fixed-dimensional multivariate Hawkes processes with compact memory, nonlinear positive links, and signed kernels allowing inhibition, every suitably regular predictable functional of a fixed lag window yields an unbiased estimating equation when integrated against d𝘕 - λ d𝘵. Under common regularity, identification, and rank conditions, estimators based on every admissible finite library achieve uniform high-probability and pointwise almost-sure 𝓞(√log(𝘛)/𝘛) rates, asymptotic normality with Godambe covariance, and admit feasible two-step optimal weighting. A projection identity quantifies each library's exact efficiency loss as the score information outside its predictable span; a two-point bound shows the root-𝘛 scale cannot be improved uniformly. Although compact memory localizes the intensity rather than the stationary law, exponential forgetting yields Bernstein-type concentration and transfers the theory to nonstationary starts after a logarithmic burn-in. Within this scope, the compensator class is exhaustive for finite-library comparisons: it contains the score, gives admissible libraries common guarantees, and quantifies their efficiency gaps exactly.
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2606.22730v11.20 MBDownloadView
Preprint (Author's original) v1 Open Access CC BY V4.0
url
https://doi.org/10.48550/arXiv.2606.22730View
Preprint (Author's original) Open CC BY V4.0

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