A neural network based model for multi-dimensional non-linear Hawkes processes

DOI10.1016/J.CAM.2024.115889MaRDI QIDQ6567310zbMATHFDO

Authors Sobin Joseph, Shashi Jain

Publication date 4 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Hawkes processes with inhibitionneural networks for Hawkes processnon-linear Hawkes processesonline learning for Hawkes processes

Mathematics Subject Classification ID

Density estimation (62G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Adaptive estimation for Hawkes processes; application to genome analysis
• Deep learning
• Efficient EM-variational inference for nonparametric Hawkes process
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
• Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
• Interacting Hawkes processes with multiplicative inhibition
• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Modeling and simulation of a nonhomogeneous poisson process having cyclic behavior
• Multilayer feedforward networks are universal approximators
• Nonparametric Estimation of the Cumulative Intensity Function for a Nonhomogeneous Poisson Process
• On Lewis' simulation method for point processes
• Regular point processes and their detection
• Renewal in Hawkes processes with self-excitation and inhibition
• Self-exciting point process modeling of crime
• Simulation of nonhomogeneous poisson processes by thinning
• Spectra of some self-exciting and mutually exciting point processes
• Stability of nonlinear Hawkes processes
• Uncovering causality from multivariate Hawkes integrated cumulants

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