Related papers: On the Hawkes Process with Different Exciting Func…

We study the spatio-temporal prediction problem, which has attracted the attention of many researchers due to its critical real-life applications. In particular, we introduce a novel approach to this problem. Our approach is based on the…

We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…

In this paper, we develop an efficient nonparametric Bayesian estimation of the kernel function of Hawkes processes. The non-parametric Bayesian approach is important because it provides flexible Hawkes kernels and quantifies their…

Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…

Hawkes processes have recently risen to the forefront of tools when it comes to modeling and generating sequential events data. Multidimensional Hawkes processes model both the self and cross-excitation between different types of events and…

We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit…

The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price…

Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated…

We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…

Hawkes processes are point process models that have been used to capture self-excitatory behavior in social interactions, neural activity, earthquakes and viral epidemics. They can model the occurrence of the times and locations of events.…

In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events in Hawkes processes at the sample path level and, via the…

Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…

A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…

Let $F$ be a distribution function on $\mathbb{R}$ with $F(0) = 0 $ and density $f$. Let $\tilde{F}$ be the distribution function of $X_1 - X_2$, $X_i\sim F,\, i=1,2,\text{ iid}$. We show that for a critical Hawkes process with displacement…

We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance,…

Driven by the recent surge in neural-inspired modeling, point processes have gained significant traction in systems and control. While the Hawkes process is the standard model for characterizing random event sequences with memory,…

We proposed a new generalized model based on the classical Hawkes process with environmental multipliers, which is called an environmentally-adaptive Hawkes (EAH) model. Compared to the classical self-exciting Hawkes process, the EAH model…

This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…

This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…

Epilepsy is a neurological disorder characterized by recurrent seizures affecting more than 70 million people worldwide. Often, an individual with epilepsy is more likely to experience subsequent seizures following an initial seizure, a…