相关论文: Multivariate Representations of Univariate Marked …

Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…

Understanding the diffusion in social network is an important task. However, this task is challenging since (1) the network structure is usually hidden with only observations of events like "post" or "repost" associated with each node, and…

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…

The multivariate Hawkes process (MHP) is widely used for analyzing data streams that interact with each other, where events generate new events within their own dimension (via self-excitation) or across different dimensions (via…

In this work, we propose to catch the complexity of the membrane potential's dynamic of a motoneuron between its spikes, taking into account the spikes from other neurons around. Our approach relies on two types of data: extracellular…

Both Hawkes processes and autoregressive processes rely on linear functionals of their past, while modeling different types of data. Since datasets arising from observations of the same phenomenon may be heterogeneous and sampled at…

This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…

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…

Efforts to model viral cascades provide a vital view into how they form and spread. A range of methods, such as Multivariate Hawkes Processes or network inference algorithms, attempt to decompose cascades into constituent components via…

We propose a novel modeling framework for time-evolving networks allowing for long-term dependence in network features that update in continuous time. Dynamic network growth is functionally parameterized via the conditional intensity of a…

Multivariate Hawkes Processes (MHPs) are a class of point processes that can account for complex temporal dynamics among event sequences. In this work, we study the accuracy and computational efficiency of three classes of algorithms which,…

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…

The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social media which can provide valuable insights to both academic…

Learning the influence structure of multiple time series data is of great interest to many disciplines. This paper studies the problem of recovering the causal structure in network of multivariate linear Hawkes processes. In such processes,…

The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences,…

We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance,…

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…

This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how graph-theoretic vocabulary…

The diversity of neuron models used in contemporary theoretical neuroscience to investigate specific properties of covariances raises the question how these models relate to each other. In particular it is hard to distinguish between…