An Algorithm for the Computation of Joint Hawkes Moments with Exponential Kernel

Authors :: Privault, Nicolas
Source :: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications. 2022:72-79
Publication Year :: 2022
Publisher :: The Institute of Systems, Control and Information Engineers, 2022.
Abstract: The purpose of this paper is to present a recursive algorithm and its implementation in Maple and Mathematica for the computation of joint moments and cumulants of Hawkes processes with exponential kernels. Numerical results and computation times are also discussed. Obtaining closed form expressions can be computationally intensive, as joint fifth cumulant and moment formulas can be respectively expanded into up to 3,288 and 27,116 summands.

Subjects :: FOS: Computer and information sciences
Computer Science - Machine Learning
Materials Science (miscellaneous)
Probability (math.PR)
FOS: Mathematics
Numerical Analysis (math.NA)
Mathematics - Numerical Analysis
Mathematics - Probability
Machine Learning (cs.LG)

ISSN :: 21884749 and 21884730
Volume :: 2022
Database :: OpenAIRE
Journal :: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Accession number :: edsair.doi.dedup.....e94434fe4ad7ec085cf6eae43eb9ec51

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