18 citations · 21 across the 2 of their papers we have counts for
2 papers
stat.ML2018★ 3 cited
Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays
Kar Wai Lim, Young Lee, Leif Hanlen +1
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations fo…
cs.LG2016★ 18 cited
Hawkes Processes with Stochastic Excitations
Young Lee, Kar Wai Lim, Cheng Soon Ong
We propose an extension to Hawkes processes by treating the levels of self-excitation as a stochastic differential equation. Our new point process allows better approximation in ap…