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stat.ME2024★ 1 cited
Hawkes Models And Their Applications
Patrick J. Laub, Young Lee, Philip K. Pollett +1
The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further ar…
stat.ME2018
Rare tail approximation using asymptotics and polar coordinates
Thomas Taimre, Patrick J. Laub
In this work, we propose a class of importance sampling (IS) estimators for estimating the right tail probability of a sum of continuous random variables based on a change of varia…