The elements of Hawkes processes [electronic resource]

• 作者： Laub, Patrick J.
• 其他作者：
  • Lee, Young.
  • Taimre, Thomas.
  • SpringerLink (Online service)
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 主題： Mathematical models. , Mathematical statistics. , Statistical Theory and Methods. , Probability Theory and Stochastic Processes. , Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences. , Machine Learning.
• ISBN： 9783030846398 (electronic bk.) 、 9783030846381 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Background -- Hawes Process Essentials -- Simulation Methods -- Likelihood Methods -- EM Algorithm -- Bayesian Methods -- Spectral Methods -- Goodness of Fit -- Traditional Applications -- Financial and Actuarial Applications -- Biological Applications.
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• 摘要註: 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.
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