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stat.ME2022
Linear prediction of point process times and marks
Maximilian Aigner, Valérie Chavez-Demoulin
In this paper, we are interested in linear prediction of a particular kind of stochastic process, namely a marked temporal point process. The observations are event times recorded…
stat.ME2020
A competing risks interpretation of Hawkes processes
Maximilian Aigner, Valérie Chavez-Demoulin
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard functio…