Sparse and low-rank multivariate Hawkes processes
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Publication:4969095
zbMATH Open1499.60153arXiv1501.00725MaRDI QIDQ4969095FDOQ4969095
Authors: Martin Bompaire, Stéphane Gaïffas, Emmanuel Bacry, Jean-François Muzy 
Publication date: 5 October 2020
Full work available at URL: https://arxiv.org/abs/1501.00725
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)
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Cited In (15)
- Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
- Multivariate Temporal Point Process Regression
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Multivariate Hawkes process analysis of posts on a web service about uncomfortable gender experiences
- Hawkes Processes Modeling, Inference, and Control: An Overview
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
- Multivariate spatiotemporal Hawkes processes and network reconstruction
- Fifty years later: new directions in Hawkes processes
- Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
- Group Network Hawkes Process
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Sparse estimation for generalized exponential marked Hawkes process
- Bayesian estimation of nonlinear Hawkes processes
- Improvements on scalable stochastic Bayesian inference methods for multivariate Hawkes process
- Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process
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