Masters project -- the Hawkes process and all that

Contents:

• Abstract
• Acknowledgements
• Background
  • Fluctuation in social systems
  • Youtube
• The data
  • Nomenclature
  • Outliers and Dragon Kings
  • Lead Balloons
  • Hypotheses
• A quick introduction to point process theory
  • Univariate temporal point processes
  • Conditional intensity processes
  • Kernels
  • The Hawkes Process in action
• Estimation of parameters of the homogeneous Hawkes model
  • Estimating parameters from occurrence timestamps
  • Estimation from summary statistics
  • Model selection
  • Experimental hypotheses
• Simulations for the homogenous estimator
  • Point estimates
  • Model selection
  • Empirical validation of estimators of inhomogenous data
• Results for the homogeneous Hawkes model
  • Further work
• Estimating branching effects for inhomogeneous processes
  • Semiparametric kernel density estimation
  • The algorithm
  • Model selection
• Simulations for the inhomogeneous estimator
  • Empirical validation on simulated data
• Results for the inhomogeneous Hawkes model
  • Single time series detailed analysis
  • Aggregate analysis
• Conclusions
• Technical Notes
  • Data extraction and cleaning
  • On the complexity of the simplest possible thing

Indices and tables

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