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Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process
We consider the task of learning the structure of the graph underlying a mutually-exciting multivariate Hawkes process in the high-dimensional setting. We propose a simple and computationally inexpensive edge screening approach. Under a subset of the assumptions required for penalized estimation app...
Gorde:
| Argitaratua izan da: | Electron J Stat |
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| Egile Nagusiak: | , , |
| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
2017
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| Gaiak: | |
| Sarrera elektronikoa: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5570442/ https://ncbi.nlm.nih.gov/pubmed/28845209 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/17-EJS1251 |
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