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stat.ML2024
Nonparametric estimation of Hawkes processes with RKHSs
Anna Bonnet, Maxime Sangnier
This paper addresses nonparametric estimation of nonlinear multivariate Hawkes processes, where the interaction functions are assumed to lie in a reproducing kernel Hilbert space (…
stat.ME2024
Spectral analysis for the inference of noisy Hawkes processes
Anna Bonnet, Felix Cheysson, Miguel Martinez Herrera +1
Classic estimation methods for Hawkes processes rely on the assumption that observed event times are indeed a realisation of a Hawkes process, without considering any potential per…