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Negative-binomial ensemble filtering for discrete-time Hawkes network reconstruction

Santitissadeekorn, Naratip
arXiv (All) · Papers
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62m20methodologystatistics-theory
We develop a sequential ensemble filter for reconstructing directed excitation networks from overdispersed multivariate counts observed on a regular time grid. The data-generating model is a discrete-time negative-binomial Hawkes process, for which we prove exact first- and second-moment stability c
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