scientific article; zbMATH DE number 6982970

MaRDI QIDQ4558550zbMATH OpenFDO

Authors Martin Bompaire, Philip Deegan, Stéphane Gaïffas, Søren V. Poulsen, Emmanuel Bacry

Publication date 22 November 2018

Full work available at URL https://arxiv.org/abs/1707.03003, http://jmlr.csail.mit.edu/papers/v18/17-381.html

zbMATH Keywords

generalized linear modelsHawkes processeslearningoptimizationpoint processPythonsurvival analysis

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Software, source code, etc. for problems pertaining to statistics (62-04) Generalized linear models (logistic models) (62J12) Reliability and life testing (62N05) Learning and adaptive systems in artificial intelligence (68T05) Software, source code, etc. for problems pertaining to operations research and mathematical programming (90-04)

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Cites work

• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
• First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
• Scikit-learn: machine learning in Python
• Statistical models based on counting processes
• Stochastic dual coordinate ascent methods for regularized loss minimization

Cited in

(9)

• Sparse estimation for generalized exponential marked Hawkes process
• Tick
• Sparse and low-rank multivariate Hawkes processes
• Binarsity: a penalization for one-hot encoded features in linear supervised learning
• Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
• Nonparametric conditional local independence testing
• SimHawNet: a modified Hawkes process for temporal network simulation
• Lasso-type estimator and classification algorithm for high-dimensional multivariate Hawkes processes
• Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction

Describes a project that uses

Uses Software

• Scikit
• GitHub
• Python

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