Bacry, Emmanuel; Jaisson, Thibault; Muzy, Jean-Francois - arXiv.org - 2014
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that this method allows us to estimate faithfully a power-law...