Bacry, Emmanuel; Bompaire, Martin; Gaïffas, Stéphane; Muzy, Jean-Francois Sparse and low-rank multivariate Hawkes processes. (English) Zbl 1499.60153 J. Mach. Learn. Res. 21, Paper No. 50, 32 p. (2020). MSC: 60G55 60E15 60G42 62H12 PDFBibTeX XMLCite \textit{E. Bacry} et al., J. Mach. Learn. Res. 21, Paper No. 50, 32 p. (2020; Zbl 1499.60153) Full Text: arXiv Link
Achab, Massil; Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François Uncovering causality from multivariate Hawkes integrated cumulants. (English) Zbl 1472.62076 J. Mach. Learn. Res. 18(2017-2018), Paper No. 192, 28 p. (2018). MSC: 62H12 62G05 62P05 60G55 PDFBibTeX XMLCite \textit{M. Achab} et al., J. Mach. Learn. Res. 18, Paper No. 192, 28 p. (2018; Zbl 1472.62076) Full Text: arXiv Link