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09/05/2023
Granger Causal Inference in Multivariate Hawkes Processes by Minimum Message Length
Multivariate Hawkes processes (MHPs) are versatile probabilistic tools u...
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07/20/2023
Non-asymptotic statistical test of the diffusion coefficient of stochastic differential equations
We develop several statistical tests of the determinant of the diffusion...
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03/24/2020
Theoretical analysis and simulation methods for Hawkes processes and their diffusion approximation
Oscillatory systems of interacting Hawkes processes with Erlang memory k...
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02/08/2018
