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The Elements of Hawkes Processes / by Patrick J. Laub, Young Lee, Thomas Taimre.
Springer Nature - Springer Mathematics and Statistics eBooks 2021 English International Available online
View online- Format:
- Book
- Author/Creator:
- Laub, Patrick J., author.
- Taimre, Thomas, 1983- author.
- Lee, Young, author.
- Language:
- English
- Subjects (All):
- Statistics.
- Probabilities.
- Machine learning.
- Statistical Theory and Methods.
- Probability Theory.
- Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
- Machine Learning.
- Local Subjects:
- Statistical Theory and Methods.
- Probability Theory.
- Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
- Machine Learning.
- Physical Description:
- 1 online resource (134 pages)
- Edition:
- 1st ed. 2021.
- Place of Publication:
- Cham : Springer International Publishing : Imprint: Springer, 2021.
- Summary:
- 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.
- Contents:
- 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.
- Notes:
- Includes bibliographical references and index.
- Other Format:
- Print version: Laub, Patrick J. The Elements of Hawkes Processes
- ISBN:
- 9783030846398
- 3030846393
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