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math.ST2026
The Bernstein-von Mises theorem and efficiency for semiparametric inference in multivariate Hawkes processes
Mael Duverger, Judith Rousseau
In this paper, we study semiparametric inference for linear multivariate Hawkes processes, a class of point processes widely used to describe self and mutually exciting phenomena.…
math.ST2025
Estimation in linear high dimensional Hawkes processes: a Bayesian approach
Judith Rousseau, Vincent Rivoirard, Déborah Sulem
In this paper we study the frequentist properties of Bayesian approaches in linear high dimensional Hawkes processes in a sparse regime where the number of interaction functions ac…