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Learning the influence structure of multiple time series data is of great interest to many disciplines.
Spectra of some self-exciting and mutually exciting point processes
Alan G Hawkes · 1971
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The pricing of options and corporate liabilities
Fischer Black and Myron Scholes · 1973
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Maximum likelihood estimation of hawkes’ self-exciting point processes
T Ozaki · 1979
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Probabilistic reasoning in intelligent systems: networks of plausible inference
Judea Pearl · 1988
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Stability of nonlinear hawkes processes
Pierre Brémaud and Laurent Massoulié · 1996
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Seismicity analysis through point-process modeling: A review
Yosihiko Ogata · 1999
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Measuring information transfer
Thomas Schreiber · 2000
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Complex analysis and applications
Alan Jeffrey · 2005
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Modelling security market events in continuous time: Intensity based, multivariate point process models
Clive G Bowsher · 2007
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Multivariate hawkes processes
Thomas Josef Liniger · 2009
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Adaptive estimation for hawkes processes; application to genome analysis
Patricia Reynaud-Bouret, Sophie Schbath, et al · 2010
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A nonparametric em algorithm for multiscale hawkes processes
Erik Lewis and George Mohler · 2011
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Self-exciting point process modeling of crime
George O Mohler, Martin B Short, P Jeffrey Brantingham, Frederic Paik Schoenberg, and George E Tita · 2011
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Modelling trades-through in a limited order book using hawkes processes
Ioane Muni Toke and Fabrizio Pomponio · 2011
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Equivalence between minimal generative model graphs and directed information graphs
Christopher J Quinn, Negar Kiyavash, and Todd P Coleman · 2011
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Directed information, causal estimation, and communication in continuous time
Tsachy Weissman, Young-Han Kim, and Haim H Permuter · 2013
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Mixture of mutually exciting processes for viral diffusion
Shuang-Hong Yang and Hongyuan Zha · 2013
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Learning triggering kernels for multi-dimensional hawkes processes
Ke Zhou, Hongyuan Zha, and Le Song · 2013
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Second order statistics characterization of hawkes processes and non-parametric estimation
Emmanuel Bacry and Jean-Francois Muzy · 2014
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Directed information graphs: A generalization of linear dynamical graphs
Jalal Etesami and Negar Kiyavash · 2014
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Non-parametric kernel estimation for symmetric hawkes processes. application to high frequency financial data
Emmanuel Bacry, Khalil Dayri, and Jean-Francois Muzy · 2012
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Some limit theorems for hawkes processes and application to financial statistics
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, and Jean-Francois Muzy · 2013
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Scott W Linderman and Ryan P Adams · 2014
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Trend detection in social networks using hawkes processes
Julio Cesar Louzada Pinto, Tijani Chahed, and Eitan Altman · 2015
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Directed information graphs
Christopher Quinn, Negar Kiyavash, and Todd P Coleman · 2015
Later among the works it cites.