Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction

2021 ◽  
Author(s):  
Baichuan Yuan ◽  
Frederic P. Schoenberg ◽  
Andrea L. Bertozzi
Keyword(s):  
Network Reconstruction ◽  
Hawkes Processes ◽  
Fast Estimation

scholarly journals Multivariate Spatiotemporal Hawkes Processes and Network Reconstruction

2019 ◽  
Vol 1 (2) ◽  
pp. 356-382 ◽  
Author(s):  
Baichuan Yuan ◽  
Hao Li ◽  
Andrea L. Bertozzi ◽  
P. Jeffrey Brantingham ◽  
Mason A. Porter
Keyword(s):  
Network Reconstruction ◽  
Hawkes Processes

Network reconstruction based on steady-state data

2008 ◽  
Vol 45 ◽  
pp. 161-176 ◽  
Author(s):  
Eduardo D. Sontag
Keyword(s):  
Steady State ◽  
Reverse Engineering ◽  
Theoretical Method ◽  
Network Reconstruction ◽  
Quasi Steady State ◽  
State Data

This paper discusses a theoretical method for the “reverse engineering” of networks based solely on steady-state (and quasi-steady-state) data.

Sensitivity Analysis for Marked Hawkes Processes - Application to CLO Pricing

2017 ◽  
Author(s):  
Guillaume Bernis ◽  
Kaouther Salhi ◽  
Simone Scotti
Keyword(s):  
Sensitivity Analysis ◽  
Hawkes Processes

Supplementary Materials for 'Score Test for Marks in Hawkes Processes'

2019 ◽  
Author(s):  
Kylie-Anne Richards ◽  
William Dunsmuir ◽  
Gareth W. Peters
Keyword(s):  
Score Test ◽  
Hawkes Processes
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