462 citations · 1.5k across the 42 of their papers we have counts for
5 papers · 1 filter
Dual optimization for convex constrained objectives without the gradient-Lipschitz assumption
Martin Bompaire, Emmanuel Bacry, Stéphane Gaïffas
The minimization of convex objectives coming from linear supervised learning problems, such as penalized generalized linear models, can be formulated as finite sums of convex funct…
Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling
Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas +1
Tick is a statistical learning library for Python~3, with a particular emphasis on time-dependent models, such as point processes, and tools for generalized linear models and survi…
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas +2
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influenc…
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…
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…