Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process
نویسندگان
چکیده
منابع مشابه
Exact and approximate EM estimation of mutually exciting hawkes processes
Motivated by the availability of continuous event sequences that trace the social behavior in a population e.g. email, we believe that mutually exciting Hawkes processes provide a realistic and informative model for these sequences. For complex mutually exciting processes, the numerical optimization used for univariate self exciting processes may not provide stable estimates. Furthermore, conve...
متن کاملBranching-ratio approximation for the self-exciting Hawkes process.
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics that are readily obtained from empirical data. The method we propose greatly simplifies the estimation of the Hawkes branching ratio, recently proposed as a pro...
متن کاملErgodicity and scaling limit of a constrained multivariate Hawkes process
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional constraint variable, whose evolution is driven by the point process. We study this process in the special c...
متن کاملSpectra of some self - exciting and mutually exciting point processes
In recent years methods of data analysis for point processes have received some attention, for example, by Cox & Lewis (1966) and Lewis (1964). In particular Bartlett (1963a, b) has introduced methods of analysis based on the point spectrum. Theoretical models are relatively sparse. In this paper the theoretical properties of a class of processes with particular reference to the point spectrum ...
متن کاملThe Hawkes Process with Different Exciting Functions and its Asymptotic Behavior
The standard Hawkes process is constructed from a homogeneous Poisson process and using the same exciting function for different generations of offspring. We propose an extension of this process by considering different exciting functions. This consideration could be important to be taken into account in a number of fields; e.g. in seismology, where main shocks produce aftershocks with possibly...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2017
ISSN: 1935-7524
DOI: 10.1214/17-ejs1251