Related papers: Stability of discrete-time Hawkes process with inh…
We consider a discrete-time version of a Hawkes process defined as a Poisson auto-regressive process whose parameters depend on the past of the trajectory. We allow these parameters to take on negative values, modelling inhibition. More…
We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…
We consider a multivariate non-linear Hawkes process in a multi-class setup where particles are organised within two populations of possibly different sizes, such that one of the populations acts excitatory on the system while the other…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…
The Hawkes process is a simple point process with wide applications in finance, social networks, criminology, seismology, and many other fields. The Hawkes process is defined for continuous-time setting. However, data is also recorded in a…
Traditionally, Hawkes processes are used to model time--continuous point processes with history dependence. Here we propose an extended model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process.…
Hawkes process models are used in settings where past events increase the likelihood of future events occurring. Many applications record events as counts on a regular grid, yet discrete-time Hawkes models remain comparatively underused and…
Hawkes processes are a popular framework to model the occurrence of sequential events, i.e., occurrence dynamics, in several fields such as social diffusion. In real-world scenarios, the inter-arrival time among events is irregular.…
Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only…
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…
We consider time-changed Poisson processes, and derive the governing difference-differential equations (DDE) these processes. In particular, we consider the time-changed Poisson processes where the the time-change is inverse Gaussian, or…
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.…
This study considers the Merton model with temporal correlation. We show the Merton model becomes Poisson process with the log-normal distributed intensity function in the limit. We discuss the relation between this model and Hawkes…
Hawkes processes are a class of simple point processes whose intensity depends on the past history, and is in general non-Markovian. Limit theorems for Hawkes processes in various asymptotic regimes have been studied in the literature. In…
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…
Over the past few decades, the Hawkes process has become a popular framework for modeling temporal events thanks to its flexibility to capture different dependency structures. The objective of this work is to model call sequences emitted by…
Interval-censored data solely records the aggregated counts of events during specific time intervals - such as the number of patients admitted to the hospital or the volume of vehicles passing traffic loop detectors - and not the exact…