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20182022
most citedOptimization frameworks and sensitivity analysis of Stackelberg mean-field games

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math.PR2018

Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes

Xin Guo, Anran Hu, Renyuan Xu +1

This paper proves the consistency property for the regularized maximum likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also develops an alternating minimiz…