New Robust Identification Method for Controlled Hawkes Processes

Michael Mark and Prof. Thomas Weber’s recent research on “Robust Identification of Controlled Hawkes Processes,” published in the Physical Review E of the American Physical Society, introduces a new method to estimate controlled self-exciting point processes. This class of processes has many applications, for example, in credit collections, financial markets, advertising, social networks, and—traditionally—earthquake prediction. The main idea is to leverage the internal branching representation of the process. The convergence properties of the method are significantly better than what can be achieved with traditional maximum-likelihood estimation methods.