5 papers
A System-Theoretic Approach to Hawkes Process Identification with Guaranteed Positivity and Stability
Xinhui Rong, Girish N. Nair
The Hawkes process models self-exciting event streams, requiring a strictly non-negative and stable stochastic intensity. Standard identification methods enforce these properties u…
Hawkes Identification with a Prescribed Causal Basis: Closed-Form Estimators and Asymptotics
Xinhui Rong, Girish N. Nair
Driven by the recent surge in neural-inspired modeling, point processes have gained significant traction in systems and control. While the Hawkes process is the standard model for…
Asymptotic Classification Error for Heavy-Tailed Renewal Processes
Xinhui Rong, Victor Solo
Despite the widespread occurrence of classification problems and the increasing collection of point process data across many disciplines, study of error probability for point proce…
Stable Reduced-Rank VAR Identification
Xinhui Rong, Victor Solo
The vector autoregression (VAR) has been widely used in system identification, econometrics, natural science, and many other areas. However, when the state dimension becomes large…
Stable State Space SubSpace (S) Identification
Xinhui Rong, Victor Solo
State space subspace algorithms for input-output systems have been widely applied but also have a reasonably well-developedasymptotic theory dealing with consistency. However, guar…