B0621
Title: Granger causal analysis of Hawkes processes for extreme events
Authors: Maximilian Aigner - Université de Lausanne (Switzerland) [presenting]
Abstract: The concept of Granger causality for multivariate Hawkes processes and its relation to the nonparametric estimation of Hawkes kernels are reviewed. A new Granger-Geweke-type coefficient is introduced to measure feedback at certain frequency bands, and we briefly discuss its estimation and interpretation. The results fit into a larger framework tying Hawkes processes to their corresponding Integer-valued Autoregressive (INAR) discretisations. We illustrate the proposed hybrid approach by analysing neuron high-voltage events ('spikes') as measured in an animal experiment.
