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stat.ME2026
Parametric estimation of Hawkes processes based on ordinary least squares
Benjamin Poignard, Yoann Potiron
We develop a parametric estimation framework for self-exciting Hawkes processes whose intensity functions admit a parametric form. The estimation procedure is based on ordinary lea…
stat.ME2026
Change-point detection in variance-covariance matrix
Ying Lin, Benjamin Poignard
We consider the joint estimation of change point locations and the sparsity pattern of the variance covariance matrix, which is assumed to evolve in a piecewise constant manner. By…
stat.ME2026
Estimation of time series by Maximum Mean Discrepancy
Pierre Alquier, Jean-David Fermanian, Benjamin Poignard
We define two minimum distance estimators for dependent data by minimizing some approximated Maximum Mean Discrepancy distances between the true empirical distribution of observati…