Statistical inference versus mean field limit for Hawkes processes
نویسندگان
چکیده
منابع مشابه
Mean-field inference of Hawkes point processes
We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a mean-field approximation that is valid when the fluctuations of the stochastic intensity are small. We show that this is notably the case in situations when interactions are sufficiently weak, when the dimension of t...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2016
ISSN: 1935-7524
DOI: 10.1214/16-ejs1142