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Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes. (arXiv:1810.02955v1 [math.PR])
来源于:arXiv
This paper proves the consistency property for the regularized maximum
likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also
develops an alternating minimization type algorithm (AA-iPALM) to compute the
MLEs with guaranteed global convergence to the set of stationary points. The
performance of this AA-iPALM algorithm on both synthetic and real-world data
shows that AA-iPALM consistently improves over iPALM and PALM. Moreover,
AA-iPALM is able to identify the causality structure in rental listings on
craigslist and herd behavior in the NASDAQ ITCH dataset. 查看全文>>