12 citations · 32 across the 31 of their papers we have counts for
6 papers · 1 filter
Graphon Hawkes Processes: Sparse Estimation and Network Recovery
Justin R. Baars, Roger J. A. Laeven, Michel R. H. Mandjes
Learning interaction structures from spatiotemporal event data is a key statistical problem in fields such as neuroscience, epidemiology, and seismology. We study this problem for…
Goodness-of-Fit Testing for Point Processes in Large Populations
Sami Umut Can, Estate V. Khmaladze, Roger J. A. Laeven
Suppose we have an observed path from a point process counting event occurrences in a large population. Based on the observed path, we would like to test the null hypothesis that t…
Asymptotically distribution-free goodness-of-fit testing for point processes
Justin Baars, Justin R. Baars, Sami Umut Can +1
Consider an observed path from a multivariate temporal point process with law on the time interval . To test the null hypothesis that belongs to…
Goodness-of-Fit Testing for Copulas: A Distribution-Free Approach
Sami Umut Can, John H. J. Einmahl, Roger J. A. Laeven
Consider a random sample from a continuous multivariate distribution function with copula . In order to test the null hypothesis that belongs to a certain parametric fam…
Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data un…
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Sami Umut Can, John H. J. Einmahl, Estate V. Khmaladze +1
Let be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptot…