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math.ST2021★ 1 cited
Inferring serial correlation with dynamic backgrounds
Song Wei, Yao Xie, Dobromir Rahnev
Sequential data with serial correlation and an unknown, unstructured, and dynamic background is ubiquitous in neuroscience, psychology, and econometrics. Inferring serial correlati…
math.ST2020
Goodness-of-Fit Test for Mismatched Self-Exciting Processes
Song Wei, Shixiang Zhu, Minghe Zhang +1
Recently there have been many research efforts in developing generative models for self-exciting point processes, partly due to their broad applicability for real-world application…