I am analyzing some data by applying 1d-Hawkes processes. To evaluate the fit of the model itself (and particularly the chosen kernel, i.e. exponential), I am performing a KS test.

However, it is not entirely clear to me on which data the KS has to be performed. My understanding, at this point, is that the KS test has to be run on the interarrival times (first-order differences) of the model residuals. Is this correct?

Thank you in advance!


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.