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cs.LG2023★ 1 cited
Granger Causal Inference in Multivariate Hawkes Processes by Minimum Message Length
Katerina Hlavackova-Schindler, Anna Melnykova, Irene Tubikanec
Multivariate Hawkes processes (MHPs) are versatile probabilistic tools used to model various real-life phenomena: earthquakes, operations on stock markets, neuronal activity, virus…
math.ST2023
Non-asymptotic statistical test of the diffusion coefficient of stochastic differential equations
Anna Melnykova, Patricia Reynaud-Bouret, Adeline Samson
We develop several statistical tests of the determinant of the diffusion coefficient of a stochastic differential equation, based on discrete observations on a time interval $[0,T]…