[PDF] Top 20 Locally stationary Hawkes processes
Has 2239 "Locally stationary Hawkes processes" found on our website. Below are the top 20 most common "Locally stationary Hawkes processes".
Locally stationary Hawkes processes
... observed Hawkes process is embedded into a doubly-indexed sequence of processes which, as sample size T becomes larger and larger, can locally be better and better approximated by a stationary ... Voir le document complet
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Time-frequency analysis of locally stationary Hawkes processes
... In this paper we treat estimation of the first and second order structure of locally stationary Hawkes processes on the real line, with a (time-dependent) fertility function p(·; t) assumed to ... Voir le document complet
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Prediction of weakly locally stationary processes by auto-regression
... weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary ...a locally stationary Time Varying ... Voir le document complet
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Wavelet Method for Locally Stationary Seasonal Long Memory Processes
... Abstract Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, season- ality and time-varying long-range dependence can often be observed and ... Voir le document complet
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Contrast estimation of general locally stationary processes using coupling
... Note that the QML contrast Φ depends on f θ and M θ . This explains why the asymptotic normality can be obtained from conditions on f θ and M θ and their derivatives. Note also that the conditions required in Proposition ... Voir le document complet
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Aggregation of time series predictors, optimality in a locally stationary context
... successive decompositions, our e ffort in the following focus on controlling the estimation risk E[||e t,T − t/T || 2 ] uniformly over a class of locally stationary processes with given smoothness ... Voir le document complet
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Inference of functional connectivity in Neurosciences via Hawkes processes
... the Hawkes process as described above cannot really model non-stationary ...is stationary (see for instance [5] and the references ...Hence Hawkes processes as defined in (2) cannot ... Voir le document complet
5
Locally stationary long memory estimation
... 1. Introduction There is a long tradition of modelling the phenomenon of long-range dependence in observed data that show a strong persistence of their correlations by long-memory processes. Such data can ... Voir le document complet
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Inference of functional connectivity in Neurosciences via Hawkes processes
... the Hawkes process as described above cannot really model non-stationary ...is stationary (see for instance [5] and the references ...Hence Hawkes processes as defined in (2) cannot ... Voir le document complet
4
Population viewpoint on Hawkes processes
... the Hawkes process have first been studied under stationary ...conditions. Hawkes (1971) addressed second order stationary properties, whereas Adamopoulos (1975) derived the probability ... Voir le document complet
21
Maximum Likelihood Estimation for Hawkes Processes with self-excitation or inhibition
... self-regulating Hawkes processes of the form (6) with 5 different values of θ = (¯ λ 0 , ¯ α, ¯ β) ∈ Θ which have been chosen in order to explore different scenarii, in particular depending on whether the ... Voir le document complet
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Analysis of stationary and non-stationary long memory processes : estimation, applications and forecast
... of processes, Brock (2000) discussed the need for time-frequency analysis of economic time series when he brought up the work on the interface between ecology and ...the stationary time series with its ... Voir le document complet
202
Lexicographic refinements in stationary possibilistic Markov Decision Processes
... The present section defines an extension of lexicographic refinements to finite horizon possibilistic Markov decision processes and proposes a value iteration algorithm that looks for policies optimal with respect ... Voir le document complet
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Characterising the nonequilibrium stationary states of Ornstein-Uhlenbeck processes Nonequilibrium stationary states of Ornstein-Uhlenbeck processes
... Ornstein-Uhlenbeck process is reversible and obeys detailed balance with respect to the above distribution. The Einstein relation σ 2 = kT γ is an example of an equilibrium fluctuation-dissipation relation. Generalising ... Voir le document complet
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A framework for information dissemination in social networks using Hawkes processes
... factorization (or more specifically nonnegative matrix factorization) has been studied for a long time now, with a vast and varied research liter- ature. The NTD multiplicative updates used in this chapter are simply one ... Voir le document complet
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Mean field limits for interacting Hawkes processes in a diffusive regime
... the generators on some Banach space. In the frame of semigroups related to Markov processes, one generally considers (C b (R), || · || ∞ ) . In this context, the generator A of a semigroup (P t ) t is de ned on ... Voir le document complet
26
Random discretization of stationary continuous time processes
... E [σ ∗ p (T h )] < ∞. (2.5) We now consider the case of long memory processes. We give conditions on T1 that ensure the preservation of the long memory property. Proposition 2.4. Assume Assumption H holds. We ... Voir le document complet
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Efficient Policies for Stationary Possibilistic Markov Decision Processes
... Decision Processes (MDP) [11, 2], which assumes that the uncertain effects of actions can be represented by probability distributions and that utilities are ...to stationary possibilistic ... Voir le document complet
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Mean field limits for nonlinear spatially extended hawkes processes with exponential memory kernels
... nonlinear Hawkes process, going back to [ 17 ] and [ 16 ] who introduced Hawkes processes in a univariate and linear ...nonlinear Hawkes processes, and to [ 10 ] and [ 6 ] for the study ... Voir le document complet
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Optimization of Non Destructive testing when assessing stationary stochastic processes
... Franck.Schoefs@univ-nantes.fr ** LUNAM Université, IFSTTAR, MACS, Nantes, France ABSTRACT . The localization of weak properties or bad behavior of a structure is still a challenge for Non Destructive Testing (NDT) tools ... Voir le document complet
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