Sobin Joseph
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View article: Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes
Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes Open
An extension of the Hawkes process, the Marked Hawkes process distinguishes itself by featuring variable jump size across each event, in contrast to the constant jump size observed in a Hawkes process without marks. While extensive literat…
View article: A neural network based model for multi-dimensional nonlinear Hawkes processes
A neural network based model for multi-dimensional nonlinear Hawkes processes Open
This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…