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Nonparametric estimation of the stationary density for Hawkes-diffusion systems with known and unknown intensity
Chiara Amorino, Charlotte Dion-Blanc, Arnaud Gloter +1
We investigate the nonparametric estimation problem of the density , representing the stationary distribution of a two-dimensional system $\left(Z_t\right)_{t \in[0, T]}=\left(X…
Testing procedures based on maximum likelihood estimation for Marked Hawkes processes
Anna Bonnet, Charlotte Dion-Blanc, Maya Sadeler-Perrin
The Hawkes model is a past-dependent point process, widely used in various fields for modeling temporal clustering of events. Extending this framework, the multidimensional marked…
ERM-Lasso classification algorithm for Multivariate Hawkes Processes paths
Charlotte Dion-Blanc, Christophe Denis, Laure Sansonnet +1
We are interested in the problem of classifying Multivariate Hawkes Processes (MHP) paths coming from several classes. MHP form a versatile family of point processes that models in…