Statistics Seminar
On uncertainty quantification for nonparametric multivariate Hawkes processes
With Judith Rousseau (Université Paris Dauphine)
On uncertainty quantification for nonparametric multivariate Hawkes processes
Multivariate Hawkes processes form a class of point processes describing self and inter exciting/inhibiting processes. There is now a renewed interest of such processes in applied domains and in machine learning, but there exists only limited theory about inference in such models apart from parametric models. After reviewing results on convergence rates for Bayesian nonparametric approaches to such models, I will present new results on uncertainty quantification for important functionals.
The rest of the abstract can be found at https://drive.google.com/file/d/10gjAoVtcY-yyE_qdtEw8vDF4rmqb3BQO/view?usp=sharing
- Speaker: Judith Rousseau (Université Paris Dauphine)
- Friday 17 October 2025, 14:00–15:00
- Venue: MR12, Centre for Mathematical Sciences.
- Series: Statistics; organiser: Qingyuan Zhao.