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Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of the proces
Externí odkaz:
http://arxiv.org/abs/2305.20085
Publikováno v:
Stat Comput 33, 111 (2023)
State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of an SSM can be challenging, especially when the likelihood of the data g
Externí odkaz:
http://arxiv.org/abs/2203.13649
A relatively simple experiment, which has been proven to be fully reproducible, shows that in solutions of water and deuterated water, sensible quantities of fluorine are generated when a triggering energy is supplied in form of electric field with s
Externí odkaz:
http://arxiv.org/abs/2202.03744
Autor:
Deutsch, Isabella, Ross, Gordon J.
Product cannibalisation in the marketplace refers to the decrease in the sales of one product due to competition from another product. We examine this phenomenon in a wholesale data set provided by an international company. We use a multivariate Hawk
Externí odkaz:
http://arxiv.org/abs/2201.05009
Autor:
Ross, Gordon J
The Epidemic Type Aftershock Sequence (ETAS) model is one of the most widely-used approaches to seismic forecasting. However most studies of ETAS use point estimates for the model parameters, which ignores the inherent uncertainty that arises from es
Externí odkaz:
http://arxiv.org/abs/2109.05894
Autor:
Ross, Gordon J.
While parametric multiple change point detection has been widely studied, less attention has been given to the nonparametric task of detecting multiple change points in a sequence of observations when their distribution is unknown. Most existing work
Externí odkaz:
http://arxiv.org/abs/2107.01742
Autor:
Deutsch, Isabella, Ross, Gordon J.
The self-exciting Hawkes process is widely used to model events which occur in bursts. However, many real world data sets contain missing events and/or noisily observed event times, which we refer to as data distortion. The presence of such distortio
Externí odkaz:
http://arxiv.org/abs/2006.09015
Autor:
Kolev, Aleksandar A., Ross, Gordon J.
Self-exciting Hawkes processes are used to model events which cluster in time and space, and have been widely studied in seismology under the name of the Epidemic Type Aftershock Sequence (ETAS) model. In the ETAS framework, the occurrence of the mai
Externí odkaz:
http://arxiv.org/abs/2002.01706
The rise of "big data" has led to the frequent need to process and store datasets containing large numbers of high dimensional observations. Due to storage restrictions, these observations might be recorded in a lossy-but-sparse manner, with informat
Externí odkaz:
http://arxiv.org/abs/1805.05671