Related papers: Large and moderate deviations for a discrete-time …
Imposing some flexible sampling scheme we provide some discretization of continuous time discrete scale invariant (DSI) processes which is a subsidiary discrete time DSI process. Then by introducing some simple random measure we provide a…
Hawkes stochastic point process models have emerged as valuable statistical tools for analyzing viral contagion. The spatiotemporal Hawkes process characterizes the speeds at which viruses spread within human populations. Unfortunately,…
A univariate Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
High frequency financial data is burdened by a level of randomness that is unavoidable and obfuscates the task of modelling. This idea is reflected in the intraday evolution of limit orders book data for many financial assets and suggests…
Event data consisting of time of occurrence of the events arises in several real-world applications. Recent works have introduced neural network based point processes for modeling event-times, and were shown to provide state-of-the-art…
Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…
Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…
The contagion dynamics can emerge in social networks when repeated activation is allowed. An interesting example of this phenomenon is retweet cascades where users allow to re-share content posted by other people with public accounts. To…
We generalize multivariate Hawkes processes mainly by including a dependence with respect to the age of the process, i.e. the delay since the last point. Within this class, we investigate the limit behaviour, when n goes to infinity, of a…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
Foundational marked temporal point process (MTPP) models, such as the Hawkes process, often use inexpressive model families in order to offer interpretable parameterizations of event data. On the other hand, neural MTPPs models forego this…
This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…
Crimes emerge out of complex interactions of human behaviors and situations. Linkages between crime incidents are highly complex. Detecting crime linkage given a set of incidents is a highly challenging task since we only have limited…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…
When the sample path of a Hawkes process is observed discretely, such that only the total event counts in disjoint time intervals are known, the likelihood function becomes intractable. To overcome the challenge of likelihood-based…
In many application settings involving networks, such as messages between users of an on-line social network or transactions between traders in financial markets, the observed data consist of timestamped relational events, which form a…
We investigate the parameter recovery of Markov-switching ordinary differential processes from discrete observations, where the differential equations are nonlinear additive models. This framework has been widely applied in biological…
Temporal point processes (TPP) are a natural tool for modeling event-based data. Among all TPP models, Hawkes processes have proven to be the most widely used, mainly due to their adequate modeling for various applications, particularly…
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…