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The Elements of Hawkes Processes

Authors: Laub, Patrick J., Lee, Young, Taimre, Thomas

  • Addresses an increasing demand to learn about Hawkes processes across multiple disciplines
  • Features color-blind-friendly illustrations
  • Models a wide range of self-exciting phenomena, from earthquakes to financial contagions
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eBook 85,59 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: November 5, 2021
  • ISBN 978-3-030-84639-8
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover 103,99 €
price for Spain (gross)
  • Due: November 5, 2021
  • ISBN 978-3-030-84638-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

Hawkes processes are studied and used in a wide range of disciplines: mathematics, social sciences, and earthquake modelling, to name a few. This book presents a selective coverage of the core and recent topics in the broad field of Hawkes processes. It consists of three parts. Parts I and II summarise and provide an overview of core theory (including key simulation methods) and inference methods, complemented by a selection of recent research developments and applications. Part III is devoted to case studies in seismology and finance that connect the core theory and inference methods to practical scenarios.

This book is designed primarily for applied probabilists, statisticians, and machine learners. However, the mathematical prerequisites have been kept to a minimum so that the content will also be of interest to undergraduates in advanced mathematics and statistics, as well as machine learning practitioners. Knowledge of matrix theory with basics of probability theory, including Poisson processes, is considered a prerequisite. Colour-blind-friendly illustrations are included. 


About the authors

Patrick J. Laub is a mathematician and software engineer who is currently a postdoctoral fellow at the University of Melbourne. He has published works on a variety of subjects in statistics, applied probability, actuarial science, and data science, and is the author of statistical software packages in Python, Stata, and Julia. His PhD in applied probability was jointly awarded by the University of Queensland and Aarhus University.

Young Lee is a postdoctoral fellow in the Faculty of Arts and Sciences at Harvard University. He is a researcher working in the fields of applied probability, statistics, and machine learning. Dr. Lee has a doctorate in Statistics from the London School of Economics.

Thomas Taimre is a senior lecturer at the School of Mathematics and Physics at the University of Queensland. His research focuses on stochastic modelling and simulation, ranging from theoretical work in probabilistic modelling and stochastic control, to developing efficient simulation techniques, to applying Monte Carlo methods and numerical methods to understand the behavior of laser sensors that rely on optical feedback. Dr. Taimre earned his doctorate in mathematics from the University of Queensland.



Buy this book

eBook 85,59 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: November 5, 2021
  • ISBN 978-3-030-84639-8
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover 103,99 €
price for Spain (gross)
  • Due: November 5, 2021
  • ISBN 978-3-030-84638-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
The Elements of Hawkes Processes
Authors
Copyright
2021
Publisher
Springer International Publishing
Copyright Holder
The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-84639-8
DOI
10.1007/978-3-030-84639-8
Hardcover ISBN
978-3-030-84638-1
Edition Number
1
Number of Pages
IV, 240
Number of Illustrations
2 b/w illustrations, 119 illustrations in colour
Topics