Sparse regression for inhomogeneous Hawkes processes

My MSc thesis with Professors Didier Sornette and Sara van de Geer

April 28, 2015 — May 12, 2015

count data

regression

sparser than thou

time series

Figure 1: Sampling method for our insane social media dataset

I completed my Master’s Thesis in 2015 at the Swiss Federal Institute of Technology (ETHZ) under the supervision of Professors Sara van de Geer and Didier Sornette, and was awarded my MSc.

Keywords that the thesis combines:

sparse regression
maximum likelihood
contagion processes
count process inference
social media models
Hawkes process

The novel part is a method of sparse regression and identification of branching processes under inhomogeneous conditions, which I will summarize and make available when I have time.

For now, see my Masters Thesis subsite or pdf.