A0281
Title: Marked Hawkes process and sparse estimation
Authors: Masatoshi Goda - University of Tokyo (Japan) [presenting]
Abstract: The P-O (penalized method to ordinary method) estimator has the oracle properties and the polynomial convergence rate of selection consistency under suitable conditions. We extend this method to the case where there could be nuisance parameters, and the true value could be realized at the boundary of the parameter space. Moreover, we apply the method to a class of multivariate marked Hawkes processes with generalized exponential kernels.