46 citations · 137 across the 23 of their papers we have counts for
4 papers · 1 filter
Mean-field inference of Hawkes point processes
Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo +1
We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a…
SGD with Variance Reduction beyond Empirical Risk Minimization
Massil Achab, Agathe Guilloux, Stéphane Gaïffas +1
We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectation…
Learning the intensity of time events with change-points
Mokhtar Zahdi Alaya, Stéphane Gaïffas, Agathe Guilloux
We consider the problem of learning the inhomogeneous intensity of a counting process, under a sparse segmentation assumption. We introduce a weighted total-variation penalization,…
Sparse and low-rank multivariate Hawkes processes
Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas +1
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. O…