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stat.ML2024★ 1 cited
Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes
Sobin Joseph, Shashi Jain
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed…
stat.ML2023
A neural network based model for multi-dimensional nonlinear Hawkes processes
Sobin Joseph, Shashi Jain
This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is su…