408 citations · 515 across the 20 of their papers we have counts for
4 papers · 1 filter
Bayesian Modelling of Nonstationary Extreme Values Using a Nonparametric Hawkes Process
Gordon J. Ross, Dean Markwick
Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur an…
The Ancestor Hawkes Process with an Application to Group Chat Data
Gordon J Ross, Isabella Deutsch
The Hawkes process is used to model point process data where events occur in clusters and bursts. In a standard multivariate Hawkes process, every event that occurs in a dimension…
Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation
Gordon J. Ross
Change point methods are used to divide a sequence of observations into segments with different behaviour. Often, the distributional form of the observations is unknown, but the ch…
Sequential Change Detection in the Presence of Unknown Parameters
Gordon J Ross
It is commonly required to detect change points in sequences of random variables. In the most difficult setting of this problem, change detection must be performed sequentially wit…