The Elements Of Hawkes Processes

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The Elements Of Hawkes Processes

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Author : Patrick J. Laub
language : en
Publisher: Springer Nature
Release Date : 2022-01-03

The Elements Of Hawkes Processes written by Patrick J. Laub and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-03 with Mathematics categories.

Hawkes processes are studied and used in a wide range of disciplines: mathematics, social sciences, and earthquake modelling, to name a few. This book presents a selective coverage of the core and recent topics in the broad field of Hawkes processes. It consists of three parts. Parts I and II summarise and provide an overview of core theory (including key simulation methods) and inference methods, complemented by a selection of recent research developments and applications. Part III is devoted to case studies in seismology and finance that connect the core theory and inference methods to practical scenarios. This book is designed primarily for applied probabilists, statisticians, and machine learners. However, the mathematical prerequisites have been kept to a minimum so that the content will also be of interest to undergraduates in advanced mathematics and statistics, as well as machine learning practitioners. Knowledge of matrix theory with basics of probability theory, including Poisson processes, is considered a prerequisite. Colour-blind-friendly illustrations are included.

Lectures On The Poisson Process

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Author : Günter Last
language : en
Publisher: Cambridge University Press
Release Date : 2017-10-26

Lectures On The Poisson Process written by Günter Last and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-26 with Mathematics categories.

A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.

Random Processes For Engineers

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Author : Bruce Hajek
language : en
Publisher: Cambridge University Press
Release Date : 2015-03-12

Random Processes For Engineers written by Bruce Hajek and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-12 with Computers categories.

An engaging introduction to the critical tools needed to design and evaluate engineering systems operating in uncertain environments.

Limit Order Books

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Author : Frédéric Abergel
language : en
Publisher: Cambridge University Press
Release Date : 2016-05-09

Limit Order Books written by Frédéric Abergel and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-09 with Business & Economics categories.

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

Filtering And Parameter Estimation For Partially Observed Generalized Hawkes Processes

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Author : Anca Patricia Vacarescu
language : en
Publisher: Stanford University
Release Date : 2011

Filtering And Parameter Estimation For Partially Observed Generalized Hawkes Processes written by Anca Patricia Vacarescu and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the self-exciting feature of our process on the asymptotic and numerical properties of the estimators.

Cell Level Healing

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Author : Joyce Whiteley Hawkes
language : en
Publisher: Simon and Schuster
Release Date : 2011-06-07

Cell Level Healing written by Joyce Whiteley Hawkes and has been published by Simon and Schuster this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-07 with Health & Fitness categories.

An internationally renowned biophysicist and practitioner of traditional Eastern healing methods, Dr. Hawkes shows readers how they can repair and renew their bodies at the cellular level.

Stochastic Processes And Long Range Dependence

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Author : Gennady Samorodnitsky
language : en
Publisher: Springer
Release Date : 2016-11-09

Stochastic Processes And Long Range Dependence written by Gennady Samorodnitsky and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-09 with Mathematics categories.

This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results. Most of the material in the book has not previously been published in a single self-contained volume, and can be used for a one- or two-semester graduate topics course. It is complete with helpful exercises and an appendix which describes a number of notions and results belonging to the topics used frequently throughout the book, such as topological groups and an overview of the Karamata theorems on regularly varying functions.

Fractals In Probability And Analysis

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Author : Christopher J. Bishop
language : en
Publisher: Cambridge University Press
Release Date : 2017

Fractals In Probability And Analysis written by Christopher J. Bishop and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Mathematics categories.

A mathematically rigorous introduction to fractals, emphasizing examples and fundamental ideas while minimizing technicalities.

Point Processes And Queues

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Author : P. Bremaud
language : en
Publisher:
Release Date : 1981-09-08

Point Processes And Queues written by P. Bremaud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981-09-08 with Mathematics categories.

From the Introduction: " The emphasis has been placed on topics of interest in systems science at large...The level of exposition and the inclusion of a large number of exercises with complete detailed solutions make this book usable as a text for graduate students in applied probability, electrical engineering, computer science, and operations research. The prerequisites in probability and random processes are recalled in the Appendices."

Brownian Motion

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Author : Peter Mörters
language : en
Publisher: Cambridge University Press
Release Date : 2010-03-25

Brownian Motion written by Peter Mörters and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-25 with Mathematics categories.

This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.