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Teoriya Veroyatnostei i ee Primeneniya, 2017, Volume 62, Issue 1, Pages 163–193
DOI: https://doi.org/10.4213/tvp5093
(Mi tvp5093)
 

This article is cited in 13 scientific papers (total in 13 papers)

Hawkes graphs

P. Embrechts, M. Kirchnera

a ETH Zürich, Department of Mathematics, RiskLab, Zürich, Switzerland
References:
Abstract: This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how the graph-theoretic vocabulary (ancestor sets, parent sets, connectivity, walks, walk weights, etc.) is very convenient for the discussion of multivariate Hawkes processes. For example, we reformulate the classic eigenvalue-based subcriticality criterion of multitype branching processes in graph terms. Next to these more terminological contributions, we show how the graph view can be used for the specification and estimation of Hawkes models from large, multitype event streams. Based on earlier work, we give a nonparametric statistical procedure to estimate the Hawkes skeleton and the Hawkes graph from data. We show how the graph estimation can then be used for specifying and fitting parametric Hawkes models. Our estimation method avoids the a priori assumptions on the model from a straightforward MLE-approach and is numerically more flexible than the latter. Our method has two tuning parameters: one controlling numerical complexity, and the other controlling the sparseness of the estimated graph. A simulation study confirms that the presented procedure works as desired. We pay special attention to computational issues in the implementation. This makes our results applicable to high-dimensional event-stream data such as dozens of event streams and thousands of events per component.
Keywords: Hawkes processes, event streams, point process networks.
Funding agency Grant number
Eidgenösische Technische Hochschule Zürich
Swiss Finance Institute, Züurich, Schwitzerland
This work was supported by RiskLab Zürich and the Swiss Finance Institute.
Received: 22.07.2016
Accepted: 20.10.2016
English version:
Theory of Probability and its Applications, 2018, Volume 62, Issue 1, Pages 132–156
DOI: https://doi.org/10.1137/S0040585X97T988538
Bibliographic databases:
Document Type: Article
Language: English
Citation: P. Embrechts, M. Kirchner, “Hawkes graphs”, Teor. Veroyatnost. i Primenen., 62:1 (2017), 163–193; Theory Probab. Appl., 62:1 (2018), 132–156
Citation in format AMSBIB
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\by P.~Embrechts, M.~Kirchner
\paper Hawkes graphs
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\vol 62
\issue 1
\pages 163--193
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\transl
\jour Theory Probab. Appl.
\yr 2018
\vol 62
\issue 1
\pages 132--156
\crossref{https://doi.org/10.1137/S0040585X97T988538}
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  • https://www.mathnet.ru/eng/tvp5093
  • https://doi.org/10.4213/tvp5093
  • https://www.mathnet.ru/eng/tvp/v62/i1/p163
  • This publication is cited in the following 13 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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