Related papers: On Stability of Hawkes Process
We present a new CUSUM procedure for sequentially detecting change-point in the self and mutual exciting processes, a.k.a. Hawkes networks using discrete events data. Hawkes networks have become a popular model for statistics and machine…
In this work we study the stability, convergence, and pressure-robustness of discretization methods for incompressible flows with hybrid velocity and pressure. Specifically, focusing on the Stokes problem, we identify a set of assumptions…
We develop a Bayesian nonparametric framework for inference in spatio-temporal Hawkes processes, extending existing theoretical results beyond the purely temporal setting. Our framework encompasses modelling both the background and…
As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
Asynchronous events sequences are widely distributed in the natural world and human activities, such as earthquakes records, users activities in social media and so on. How to distill the information from these seemingly disorganized data…
H\"older continuity, $|N_\lambda(E)-N_\lambda(E')|\le C |E-E'|^\alpha$, with a constant $C$ independent of the disorder strength $\lambda$ is proved for the integrated density of states $N_\lambda(E)$ associated to a discrete random…
In this paper we study the frequentist properties of Bayesian approaches in linear high dimensional Hawkes processes in a sparse regime where the number of interaction functions acting on each component of the Hawkes process is much smaller…
We give a general Gaussian bound for the first chaos (or innovation) of point processes with stochastic intensity constructed by embedding in a bivariate Poisson process. We apply the general result to nonlinear Hawkes processes, providing…
Classic results show that the Hawkes self-exciting point process can be viewed as a collection of temporal clusters, where exogenously generated initial events give rise to endogenously driven descendant events. This perspective provides…
The question of stability of the Higgs potential in the Standard Model is revisited employing advanced theoretical precision and recent experimental results. We show that the top mass and strong coupling constants are key observables in…
The paper is concerned with an inverse point source problem for the Helmholtz equation. It consists of recovering the locations and amplitudes of a finite number of radiative point sources inside a given inhomogeneous medium from the…
A stationary Gaussian process is said to be long-range dependent (resp., anti-persistent) if its spectral density $f(\lambda)$ can be written as $f(\lambda)=|\lambda|^{-2d}g(|\lambda|)$, where $0<d<1/2$ (resp., $-1/2<d<0$), and $g$ is…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according…
We study the persistence probability of a centered stationary Gaussian process on $\mathbb{Z}$ or $\mathbb{R}$, that is, its probability to remain positive for a long time. We describe the delicate interplay between this probability and the…
Learning the causal-interaction network of multivariate Hawkes processes is a useful task in many applications. Maximum-likelihood estimation is the most common approach to solve the problem in the presence of long observation sequences.…
We review the stability properties of several discretizations of the Helmholtz equation at large wavenumbers. For a model problem in a polygon, a complete $k$-explicit stability (including $k$-explicit stability of the continuous problem)…
This work develops a quantitative homogenization theory for random suspensions of rigid particles in a steady Stokes flow, and completes recent qualitative results. More precisely, we establish a large-scale regularity theory for this…
In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our methodology relies on the Poisson imbedding representation…