3 papers
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…
math.ST2023
Mixing properties for multivariate Hawkes processes
Ousmane Boly, Felix Cheysson, Thi Hien Nguyen
Properties of strong mixing have been established for the stationary linear Hawkes process in the univariate case, and can serve as a basis for statistical applications. In this pa…
math.ST2020
Spectral estimation of Hawkes processes from count data
Felix Cheysson, Gabriel Lang
This paper presents a parametric estimation method for ill-observed linear stationary Hawkes processes. When the exact locations of points are not observed, but only counts over ti…