Hawkes Graphs

DOI10.1137/S0040585X97T988538zbMath1390.60176arXiv1601.01879OpenAlexW4248566407MaRDI QIDQ4641657

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Publication date: 18 May 2018

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.01879

zbMATH Keywords

Hawkes processesHawkes graphevent streamsmultivariate Hawkes point processpoint process networks

Mathematics Subject Classification ID

Applications of graph theory (05C90) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

An estimation procedure for the Hawkes process ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests ⋮ A Conversation With Paul Embrechts ⋮ Sparse estimation for generalized exponential marked Hawkes process ⋮ Unnamed Item ⋮ A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation

Uses Software

• Matrix
• igraph

Cites Work

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• Hawkes processes on large networks
• Hawkes and INAR(\(\infty\)) processes
• Branching random walks. École d'Été de Probabilités de Saint-Flour XLII -- 2012
• On the class of Sylow tower groups
• Tracking Dynamic Point Processes on Networks
• A cluster process representation of a self-exciting process
• An estimation procedure for the Hawkes process
• An Introduction to the Theory of Point Processes
• Branching Processes
• Spectra of some self-exciting and mutually exciting point processes

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