相关论文: A cluster representation of the renewal Hawkes pro…

We introduce the Hawkes process with renewal immigration and make its statistical estimation possible with two Expectation Maximization (EM) algorithms. The standard Hawkes process introduces immigrant points via a Poisson process, and each…

This paper investigates Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of this point process impacts its future intensity by the addition of a signed reproduction function. The case of…

Hawkes processes are point processes with self-exciting and clustering properties that are popular in applications. In recent years, renewal Hawkes processes have gained attention, due to their versatility such as the capability 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…

A uniform law of large numbers and a central limit theorem are established via a martingale approach for a univariate Hawkes process with immigration given by a renewal process. The results are obtained for renewal processes with absolutely…

This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept…

In the last decade Hawkes processes have received much attention as models for functional connectivity in neural spiking networks and other dynamical systems with a cascade behavior. In this paper we establish a renewal approach for…

We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not increase at arrivals but at departures from the system. In a…

We derive explicit, closed-form expressions for the cumulant densities of a multivariate, self-exciting Hawkes point process, generalizing a result of Hawkes in his earlier work on the covariance density and Bartlett spectrum of such…

We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit…

Hawkes process is a self-exciting point process with clustering effect whose intensity depends on its entire past history. It has wide applications in neuroscience, finance and many other fields. In this paper, we obtain a functional…

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…

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…

The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further arrivals in the near future. The model, and its…

In this paper, we propose an extension of the Hawkes process by incorporating a kernel based on the tempered Mittag-Leffler distribution. This is the generalization of the work presented in [10]. We derive analytical results for the…

We construct a family of processes, from a renewal process, that have realizations that converge almost surely to the Brownian motion, uniformly on the unit time interval. Finally we compute the rate of convergence in a particular case.

The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting…

In this work, several convergence results are established for nearly critical self-excited systems in which event arrivals are described by multivariate marked Hawkes point processes. Under some mild high-frequency assumptions, the rescaled…

We study the asymptotic properties of the solutions of a nonlinear renewal equation. The main contribution of the present article is to provide stability and convergence results around equilibrium solutions, under some local subcritical…

Genuinely critical dynamics have been proposed to organize many natural and social systems, yet exact criticality is usually thought to preclude stationarity because the mean activity diverges. I show that this conclusion is not generally…