Boris I. Godoy

2 accepted papers

2016

Local likelihood estimation of time-variant Hawkes models

Boris I. Godoy, Victor Solo, Jason Min, Syed Ahmed Pasha

ICASSP 2016accepted

The Hawkes process is the workhorse of dynamic point process modelling - the point process version of the autoregression. It has been applied, for example, in high frequency finance, electricity price spike modelling and gene regulatory network modelling. But, in all these and other applications, it…

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2015

Time-varying vector Poisson processes with coincidences

Victor Solo, Boris I. Godoy

ICASSP 2015accepted

Three emerging applications are driving a renewed interest in vector point processes: neural coding, high frequency finance and genomics. This pressure has revealed a gross lack of models and system identification methods. In particular in at least the first two applications coincidences can occur i…

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