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The Elements of Hawkes Processes
Buch von Patrick J. Laub (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor

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.

Zusammenfassung

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

Inhaltsverzeichnis
Background.- Hawes Process Essentials.- Simulation Methods.- Likelihood Methods.- EM Algorithm.- Bayesian Methods.- Spectral Methods.- Goodness of Fit.- Traditional Applications.- Financial and Actuarial Applications.- Biological Applications.
Details
Erscheinungsjahr: 2022
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Inhalt: xiv
133 S.
2 s/w Illustr.
119 farbige Illustr.
133 p. 121 illus.
119 illus. in color.
ISBN-13: 9783030846381
ISBN-10: 3030846385
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Laub, Patrick J.
Taimre, Thomas
Lee, Young
Auflage: 1st ed. 2021
Hersteller: Springer International Publishing
Springer International Publishing AG
Maße: 241 x 160 x 14 mm
Von/Mit: Patrick J. Laub (u. a.)
Erscheinungsdatum: 04.01.2022
Gewicht: 0,395 kg
Artikel-ID: 120322363
Über den Autor

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.

Zusammenfassung

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

Inhaltsverzeichnis
Background.- Hawes Process Essentials.- Simulation Methods.- Likelihood Methods.- EM Algorithm.- Bayesian Methods.- Spectral Methods.- Goodness of Fit.- Traditional Applications.- Financial and Actuarial Applications.- Biological Applications.
Details
Erscheinungsjahr: 2022
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Inhalt: xiv
133 S.
2 s/w Illustr.
119 farbige Illustr.
133 p. 121 illus.
119 illus. in color.
ISBN-13: 9783030846381
ISBN-10: 3030846385
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Laub, Patrick J.
Taimre, Thomas
Lee, Young
Auflage: 1st ed. 2021
Hersteller: Springer International Publishing
Springer International Publishing AG
Maße: 241 x 160 x 14 mm
Von/Mit: Patrick J. Laub (u. a.)
Erscheinungsdatum: 04.01.2022
Gewicht: 0,395 kg
Artikel-ID: 120322363
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