462 citations · 1.5k across the 41 of their papers we have counts for
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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…
physics.data-an2016★ 8 cited
Self-similar continuous cascades supported by random Cantor sets. Application to rainfall data
J. F. Muzy, R. Baïle
We introduce a variant of continuous random cascade models that extends former constructions introduced by Barral-Mandelbrot and Bacry-Muzy in the sense that they can be supported…