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math.ST2025
A non-local estimator for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the sta…
math.ST2018
Local polynomial estimation of the intensity of a doubly stochastic Poisson process with bandwidth selection procedure
Thomas Deschatre
We consider a doubly stochastic Poisson process with stochastic intensity where is a continuous Itô semimartingale and is an integer. Both proces…
math.ST2018★ 2 cited
Estimating fast mean-reverting jumps in electricity market models
Deschatre Thomas, Féron Olivier, Hoffmann Marc
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itô semimartingale and a a mean-reverting com…