1 code implementation • ICML 2017 • Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-Francois Muzy
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process.
no code implementations • 16 Oct 2015 • Massil Achab, Agathe Guilloux, Stéphane Gaïffas, Emmanuel Bacry
We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectations.