Related papers: A Multidimensional Fractional Hawkes Process for M…
We introduce the Hyperedge-triggered Hawkes (HTH) process for inferring higher-order interaction structure in multi-cellular systems from asynchronous event-time data. Beyond standard pairwise excitation, the HTH intensity includes a term…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
Forecasts of the focal mechanisms of future earthquakes are important for seismic hazard estimates and Coulomb stress and other models of earthquake occurrence. Here we report on a high-resolution global forecast of earthquake rate density…
We establish the asymptotic validity of frequency-domain inference for stationary multivariate Hawkes processes under mild conditions, bridging the gap between theory and application. By developing upper-bounds on the reduced cumulant…
We study large time behavior of critical marked Hawkes processes and related branching particle systems. In case of marked Hawkes processes we assume that the kernel function has multiplicative form and the marks corresponding to the events…
We present a new kind of critical stochastic finite-time-singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type aftershock (ETAS) model for aftershocks,…
Hawkes processes have recently gained increasing attention from the machine learning community for their versatility in modeling event sequence data. While they have a rich history going back decades, some of their properties, such as…
Simple models for ruptures along a heterogeneous earthquake fault zone are studied, focussing on the interplay between the roles of disorder and dynamical effects. A class of models are found to operate naturally at a critical point whose…
For decades, classical point process models, such as the epidemic-type aftershock sequence (ETAS) model, have been widely used for forecasting the event times and locations of earthquakes. Recent advances have led to Neural Point Processes…
Let $V_M,(m_0)$ be the number of m>M aftershocks caused by $m_0$ event. We consider the $V_M,(m_0)$ distribution within epidemic-type seismicity models, ETAS(F). These models include the Gutenberg-Richter law for magnitude and Utsu law for…
We prove ergodicity of a point process earthquake model combining the classical stress release model for primary shocks with the Hawkes model for aftershocks.
Learning the latent network structure from large scale multivariate point process data is an important task in a wide range of scientific and business applications. For instance, we might wish to estimate the neuronal functional…
This work presents a computational framework for studying reaction dynamics via wavepacket propagation, employing the multiconfiguration time-dependent Hartree (MCTDH) method and its multilayer extension (ML-MCTDH) as the core…
Learning causal structure among event types on multi-type event sequences is an important but challenging task. Existing methods, such as the Multivariate Hawkes processes, mostly assumed that each sequence is independent and identically…
By using the maximum entropy principle with Tsallis entropy and under the assumption that the gouge plays an active role in the triggering of earthquakes, we obtain a functional dependence for energy distribution function for earthquakes…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
The statistics of earthquakes in a heterogeneous fault zone is studied analytically and numerically in the mean field version of a model for a segmented fault system in a three-dimensional elastic solid. The studies focus on the interplay…
Many time series in natural and social sciences can be seen as resulting from an interplay between exogenous influences and an endogenous organization. We use a simple (ETAS) model of events occurring sequentially, in which future events…
We investigate a recent suggestion that the spatial distribution of earthquake hypocenters makes a fractal set with a structure and fractal dimensionality close to those of the backbone of critical percolation clusters, by analyzing four…
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…