Stéphane Gaı̈ffas

Uncovering Causality from Multivariate Hawkes Integrated Cumulants

We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each node of the process, but also disentangles the causality relationships between them. Our approach is the firs…