應(yīng)yl7703永利官網(wǎng)概率統(tǒng)計研究所趙學(xué)靖教授邀請，澳大利亞新南威爾士大學(xué)yl7703永利官網(wǎng)的高級講師陳鋒博士將訪問我校并作學(xué)術(shù)報告。

報告題目：Estimating Hawkes processes from discretely observed sample paths

報告時間：2023年9月25日（星期一）16：30

報告地點：理工樓631報告廳

摘要：The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from complete observations of a sample path is relatively straightforward using the maximum likelihood or other methods. However, estimating the parameters of a Hawkes process from observations of a sample path at discrete time points only is challenging due to the intractability of the likelihood with such data. In this work, we introduce a method to estimate the Hawkes process from a discretely observed sample path. The method takes advantage of a state-space representation of the incomplete data problem and use sequential Monte Carlo (aka particle filtering) to approximate the likelihood function. As an estimator of the likelihood function the SMC approximation is unbiased, and therefore it can be used together with the Metropolis-Hastings algorithm to construct Markov Chains to approximate the likelihood distribution, or more generally, the posterior distribution of model parameters. The performance of the methodology will be assessed using simulation experiments.

報告人簡介

陳鋒博士，澳大利亞新南威爾士大學(xué)yl7703永利官網(wǎng)的高級講師（等同于北美高校的終身副教授），研究興趣包括點過程、時間序列、統(tǒng)計計算、非參半?yún)⒔y(tǒng)計方法、生存分析、極限理論等，在Annals of Applied Statistics, Journal of Computational and Graphical Statistics 等著名國際刊物發(fā)表學(xué)術(shù)論文40余篇，已指導(dǎo)四名博士生畢業(yè)，現(xiàn)為Journal of Statistical Planning and Inference和ACM Transactions on Probabilistic Machine Learning兩期刊的副主編，及Journal of Agricultural, Biological, and Environmental Statistics雜志2023年Hawkes Processes?？目妥骶幹弧?/p>

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yl7703永利官網(wǎng)

蘭州大學(xué)萃英學(xué)院

蘭州大學(xué)大數(shù)據(jù)科學(xué)研究中心

2023年9月22日