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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…
stat.ML2025
Input Convex Kolmogorov Arnold Networks
Thomas Deschatre, Xavier Warin
This article presents an input convex neural network architecture using Kolmogorov-Arnold networks (ICKAN). Two specific networks are presented: the first is based on a low-order,…
math.PR2025
Some limit theorems for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties…