Sparse and low-rank multivariate Hawkes processes

We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the least-squares loss associated with a multivariate Hawkes model, penaliz...

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Bibliographische Detailangaben

Hauptverfasser:	Bacry, Emmanuel, Bompaire, Martin, Gaïffas, Stéphane, Muzy, Jean-François
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Machine Learning
Online-Zugang:	Volltext bestellen
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