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Seminar information archive ～01/13｜Today's seminar 01/14 | Future seminars 01/15～
2019/02/06
Seminar on Probability and Statistics
16:30-18:00 Room #270 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (Centrale Supelec Paris)
Testing the causality of Hawkes processes with time reversal
Ioane Muni Toke (Centrale Supelec Paris)
Testing the causality of Hawkes processes with time reversal
[ Abstract ]
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly depends on the direction of the arrow of time. In ideal (synthetic) conditions, tests of goodness of parametric fit unambiguously reject backward event times, which implies that inferring kernels from time-symmetric quantities, such as the autocovariance of the event rate, only rarely produce statistically significant fits. Finally, we find that fitting financial data with many-parameter kernels may yield significant fits for both arrows of time for the same event time vector, sometimes favouring the backward time direction. This goes to show that a significant fit of Hawkes processes to real data with flexible kernels does not imply a definite arrow of time unless one tests it.
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly depends on the direction of the arrow of time. In ideal (synthetic) conditions, tests of goodness of parametric fit unambiguously reject backward event times, which implies that inferring kernels from time-symmetric quantities, such as the autocovariance of the event rate, only rarely produce statistically significant fits. Finally, we find that fitting financial data with many-parameter kernels may yield significant fits for both arrows of time for the same event time vector, sometimes favouring the backward time direction. This goes to show that a significant fit of Hawkes processes to real data with flexible kernels does not imply a definite arrow of time unless one tests it.
2019/02/01
thesis presentations
9:15-10:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #126 (Graduate School of Math. Sci. Bldg.)
2019/01/31
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-15:30 Room #128 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #126 (Graduate School of Math. Sci. Bldg.)
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