The Bernstein-von Mises theorem and efficiency for semiparametric inference in multivariate Hawkes processes

Authors: Mael Duverger, Judith Rousseau

Year: 2026

math.ST

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2026
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Abstract

In this paper, we study semiparametric inference for linear multivariate Hawkes processes, a class of point processes widely used to describe self and mutually exciting phenomena. We establish a convolution theorem giving the best limiting distribution for a regular estimator of smooth functional. Then, in the Bayesian setting, we prove a semiparametric Bernstein-von Mises (BvM) theorem for nonparametric random series priors. We apply this result to histogram and wavelet based priors. Taken together, the convolution and BvM theorems show that, from a frequentist point of view, semiparametric Bayesian procedures have asymptotically the optimal behavior. Deriving the BvM property for random series priors led us to prove L2 posterior contraction, complementing for these priors the results of Donnet, Rivoirard and Rousseau (2020).

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