conditional law g(t) for negative t
Closed this issue · 0 comments
kakarun commented
Hi,
I follow the method in "Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics" to solve Wiener-Hopf systems for multidimensional hawkes process.
I was wondering how to determine the value for g_ij(t) when t is negative.
Is that true g_ij(t) = g_ij(-t)*Lambda^i/Lambda^j for t < 0?
Thanks!