Nonparametric Bayesian estimation for multivariate Hawkes processes

DOI10.1214/19-AOS1903zbMath1471.62347arXiv1802.05975MaRDI QIDQ2215756

Vincent Rivoirard, Sophie Donnet, Judith Rousseau

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.05975

zbMATH Keywords

Hawkes processesnonparametric Bayesian estimationmultivariate counting processposterior concentration rates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model ⋮ Hawkes Processes Modeling, Inference, and Control: An Overview ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Bayesian estimation of nonlinear Hawkes processes ⋮ Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity ⋮ Unnamed Item

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