• Corpus ID: 237346845

A Parameter Estimation Method for Multivariate Aggregated Hawkes Processes

  title={A Parameter Estimation Method for Multivariate Aggregated Hawkes Processes},
  author={Leigh Shlomovich and Edward A. K. Cohen and Niall M. Adams},
It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from limitations on recording capabilities and the expense of storing high volumes of precise data. In order to gain a better understanding of the relationships between processes, we consider modelling the aggregated event data using multivariate Hawkes processes, which… 
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