应304am永利集团官网概率统计研究所赵学靖教授邀请，澳大利亚新南威尔士大学304am永利集团官网的高级讲师陈锋博士将访问我校并作学术报告。

报告题目：Estimating Hawkes processes from discretely observed sample paths

报告时间：2023年9月25日（星期一）16：30

报告地点：理工楼631报告厅

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.

报告人简介

陈锋博士，澳大利亚新南威尔士大学304am永利集团官网的高级讲师（等同于北美高校的终身副教授），研究兴趣包括点过程、时间序列、统计计算、非参半参统计方法、生存分析、极限理论等，在Annals of Applied Statistics, Journal of Computational and Graphical Statistics 等著名国际刊物发表学术论文40余篇，已指导四名博士生毕业，现为Journal of Statistical Planning and Inference和ACM Transactions on Probabilistic Machine Learning两期刊的副主编，及Journal of Agricultural, Biological, and Environmental Statistics杂志2023年Hawkes Processes专刊的客座主编之一。

甘肃应用数学中心

甘肃省高校应用数学与复杂系统省级重点实验室

304am永利集团官网

兰州大学萃英学院

兰州大学大数据科学研究中心

2023年9月22日