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stat.ML2016★ 46 cited
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas +2
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influenc…
stat.ML2015
SGD with Variance Reduction beyond Empirical Risk Minimization
Massil Achab, Agathe Guilloux, Stéphane Gaïffas +1
We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectation…