相关论文: Estimating Product Cannibalisation in Wholesale us…

In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the…

Bayesian optimisation has proven to be a powerful tool for expensive global black-box optimisation problems. In this paper, we propose new Bayesian optimisation variants of the popular Knowledge Gradient acquisition functions for problems…

We study a finite-horizon dynamic wholesale-price contract between a manufacturer and a retailer, both of whom observe only sales, rather than the true demand. When the retailer stocks out, unmet demand is unobserved, so both parties update…

Gun violence and mass shootings are high-profile epidemiological issues facing the United States with questions regarding their contagiousness gaining prevalence in news media. Through the use of nonparametric Hawkes processes, we examine…

The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from continuous observations of a sample path is relatively…

We consider a nonlinear multivariate Hawkes process having a variable length memory which allows to describe the activity of a neuronal network by its membrane potential. We propose a graphical construction of the process and we construct,…

Quality control in industrial processes is increasingly making use of prior scientific knowledge, often encoded in physical models that require numerical approximation. Statistical prediction, and subsequent optimization, is key to ensuring…

We consider a Gaussian process formulation of the multiple kernel learning problem. The goal is to select the convex combination of kernel matrices that best explains the data and by doing so improve the generalisation on unseen data.…

We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short…

Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…

The multi-label classification framework, where each observation can be associated with a set of labels, has generated a tremendous amount of attention over recent years. The modern multi-label problems are typically large-scale in terms of…

The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has…

We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…

Discovering new physical products and processes often demands enormous experimentation and expensive simulation. To design a new product with certain target characteristics, an extensive search is performed in the design space by trying out…

We develop flexible multivariate spatio-temporal Hawkes process models to analyze patterns of terrorism. Previous applications of point process methods to political violence data mainly utilize temporal Hawkes process models, neglecting…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…

We develop a new family of marked point processes by focusing the characteristic properties of marked Hawkes processes exclusively to the space of marks, providing the freedom to specify a different model for the occurrence times. This is…

As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…

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…