Title:
A Self-limiting Hawkes Process: Interpretation, Estimation, and Use in Modeling
A Self-limiting Hawkes Process: Interpretation, Estimation, and Use in Modeling
| dc.contributor.advisor | Short, Martin B. | |
| dc.contributor.author | Olinde, John Garnier | |
| dc.contributor.committeeMember | Kang, Sung Ha | |
| dc.contributor.committeeMember | Zhou, Haomin | |
| dc.contributor.committeeMember | Liao, Wenjing | |
| dc.contributor.committeeMember | Yan, Karen | |
| dc.contributor.department | Mathematics | |
| dc.date.accessioned | 2022-05-18T19:33:55Z | |
| dc.date.available | 2022-05-18T19:33:55Z | |
| dc.date.created | 2022-05 | |
| dc.date.issued | 2022-04-28 | |
| dc.date.submitted | May 2022 | |
| dc.date.updated | 2022-05-18T19:33:55Z | |
| dc.description.abstract | Many real life processes that we would like to model have a self-exciting property, i.e. the occurrence of one event causes a temporary spike in the probability of other events occurring nearby in space and time. Examples of processes that have this property are earthquakes, crime in a neighborhood, or emails within a company. In 1971, Alan Hawkes first used what is now known as the Hawkes process to model such processes. Since then much work has been done on estimating the parameters of a Hawkes process given a data set and creating variants of the process for different applications. In this thesis, we propose a new variant of a Hawkes process, called a self-limiting Hawkes process, that takes into account the effect of police activity on the underlying crime rate and an algorithm for estimating its parameters given a crime data set. We show that the self-limiting Hawkes process fits real crime data just as well, if not better, than the standard Hawkes model.We also show that the self-limiting Hawkes process fits real financial data at least as well as the standard Hawkes model. | |
| dc.description.degree | Ph.D. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/1853/66584 | |
| dc.language.iso | en_US | |
| dc.publisher | Georgia Institute of Technology | |
| dc.subject | Hawkes | |
| dc.subject | Hawkes process | |
| dc.subject | mathematical modeling | |
| dc.subject | self-limiting Hawkes process | |
| dc.title | A Self-limiting Hawkes Process: Interpretation, Estimation, and Use in Modeling | |
| dc.type | Text | |
| dc.type.genre | Dissertation | |
| dspace.entity.type | Publication | |
| local.contributor.advisor | Short, Martin B. | |
| local.contributor.corporatename | College of Sciences | |
| local.contributor.corporatename | School of Mathematics | |
| relation.isAdvisorOfPublication | 92a6f1bd-3412-4ea8-98c4-87c984973eb6 | |
| relation.isOrgUnitOfPublication | 85042be6-2d68-4e07-b384-e1f908fae48a | |
| relation.isOrgUnitOfPublication | 84e5d930-8c17-4e24-96cc-63f5ab63da69 | |
| thesis.degree.level | Doctoral |