相关论文: Time-frequency analysis of locally stationary Hawk…
In this paper we consider multivariate Hawkes processes with baseline hazard and kernel functions that depend on time. This defines a class of locally stationary processes. We discuss estimation of the time-dependent baseline hazard and…
This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over time intervals of fixed size, methods based on the likelihood…
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…
Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…
Based on a novel dynamic Whittle likelihood approximation for locally stationary processes, a Bayesian nonparametric approach to estimating the time-varying spectral density is proposed. This dynamic frequency-domain based likelihood…
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…
We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…
Self- and mutually-exciting point processes are popular models in machine learning and statistics for dependent discrete event data. To date, most existing models assume stationary kernels (including the classical Hawkes processes) and…
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…
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…
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…
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…
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…
Classic estimation methods for Hawkes processes rely on the assumption that observed event times are indeed a realisation of a Hawkes process, without considering any potential perturbation of the model. However, in practice, observations…
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point processes whose defining characteristic is that they…
This article introduces the class of continuous time locally stationary wavelet processes. Continuous time models enable us to properly provide scale-based time series models for irregularly-spaced observations for the first time, while…
We investigate the nonparametric estimation problem of the density $\pi$, representing the stationary distribution of a two-dimensional system $\left(Z_t\right)_{t \in[0, T]}=\left(X_t, \lambda_t\right)_{t \in[0, T]}$. In this system, $X$…
Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of…
We introduce a wavelet-based model of local stationarity. This model enlarges the class of locally stationary wavelet processes and contains processes whose spectral density function may change very suddenly in time. A notion of…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…