Hawkes Processes
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Hawkes Processes
Introduction to Hawkes Processes which are stochastic processes that model auto-correlated jumps.
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- 0 Rating
- 0 Reviews
- 2 Students Enrolled
Requirements
- Stochastic Processes
General Overview
Description
This courselet is an introduction to Hawkes processes which are stochastic processes that can be used to model jump processes with auto-correlated jumps. The motivation is given by intuitive examples and other naive ways of modelling are discarded. After the introduction of the building-blocks of the process, the baseline probability function and the kernel function, estimation and simulation techniques are discussed. Common choices of those building-blocks are presented. Advantages and disadvantages of those common choises are discussed. Algorithms for finding jumps are introduced but not discussed in detail.
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