Sparse and low-rank multivariate Hawkes processes

Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas, Jean-François Muzy. Sparse and low-rank multivariate Hawkes processes. Journal of Machine Learning Research, 21, 2020. [doi]

Authors

Emmanuel Bacry

This author has not been identified. Look up 'Emmanuel Bacry' in Google

Martin Bompaire

This author has not been identified. Look up 'Martin Bompaire' in Google

Stéphane Gaïffas

This author has not been identified. Look up 'Stéphane Gaïffas' in Google

Jean-François Muzy

This author has not been identified. Look up 'Jean-François Muzy' in Google