HAWKES PROCESSES ON LARGE NETWORKS [PDF]
, 2016 International audienceWe generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph G.
Hoffmann, Marc +2 more
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ASYMPTOTIC NORMALITY OF A KERNEL-TYPE ESTIMATOR FOR THE INTENSITY OF A PERIODIC POISSON PROCESS [PDF]
, 2006 In this paper we prove asymptotic normality of a kernel type estimator for the intensity of a periodic Poisson process. This paper is a continuation of [10].
MANGKU, I W.
core +1 more source
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
, 2011 Credit derivatives, Incomplete information, Nonlinear filtering, Hedging, 91B28, 93E11, 60G55, G13, C11,
Rüdiger Frey, Thorsten Schmidt
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Weak and Strong Convergence of a Kernel-type Estimator for the Intensity of a Periodic Poisson Processs [PDF]
, 2006 In this paper we survey some results on weak and strong convergence of kernel type estimators for the intensity of a periodic Poisson process. We consider the situation when the period is known in order to be able to present simple proofs of the results.
MANGKU, I W., MANGKU, I. W. (I)
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Approximate Bayesian Computations to fit and compare insurance loss models
, 2021 International audienceApproximate Bayesian Computation (ABC) is a statistical learning technique to calibrate and select models by comparing observed data to simulated data.
Goffard, Pierre-Olivier, Laub, Patrick
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Consistency of a Uniform Kernel Estimator for Intensity of a Periodic Poisson Process with Unknown Period [PDF]
, 2008 A uniform kernel estimator for intensity of a periodic Poisson process with unknowm period is presented and a proof of its consistency is discussed. The result presented in this paper is a special case of that in [3].
MANGKU, I W., MANGKU, I. W. (I)
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A second order approach to analyse spatial point patterns with functional marks
, 2010 Demographic evolution, Functional data analysis, Functional marked point patterns, Point patterns, Population pyramids, Spanish towns, 60G55, 62M30,
C. Comas +5 more
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Central Limit Theorems For Local Emprical Processes Near Boundaries of Sets [PDF]
, 2007 AMS 2000 subject classifications.
Einmahl, J.H.J., Khmaladze, E.V.
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Consistency of Kernel-type Estimators for the First and Second Derivatives of a Periodic Poisson Intensity Function [PDF]
, 2007 We construct and investigate consistent kernel-type estimators for the first and second derivatives of a periodic Poisson intensity function when the period is known. We do not assume any particular parametric form for the intensity function.
SYAMSURI, S. +5 more
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Sequential Kernel Estimation of the Conditional Intensity of Nonstationary Point Processes
, 2006 California earthquakes, exponential weighting, prediction error criteria, sequential nonparametric regression, space–time point processes, Primary: 60G55, 62G07, 62L12, Secondary: 62G08, 62M30, 86A32,
Carlo Grillenzoni, GRILLENZONI, CARLO
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