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Space-Time Point-Process Models for Earthquake Occurrences

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Cited by:

  1. Chen Cao & Xiangbin Wu & Lizhi Yang & Qian Zhang & Xianying Wang & David A. Yuen & Gang Luo, 2021. "Long Short-Term Memory Networks for Pattern Recognition of Synthetical Complete Earthquake Catalog," Sustainability, MDPI, vol. 13(9), pages 1-13, April.
  2. Nishio, Kazuki & Hoshino, Takahiro, 2022. "Joint modeling of effects of customer tier program on customer purchase duration and purchase amount," Journal of Retailing and Consumer Services, Elsevier, vol. 66(C).
  3. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
  4. van den Hengel, G. & Franses, Ph.H.B.F., 2018. "Forecasting social conflicts in Africa using an Epidemic Type Aftershock Sequence model," Econometric Institute Research Papers EI2018-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(1), pages 139-171.
  6. Nader Davoudi & Hamid Reza Tavakoli & Mehdi Zare & Abdollah Jalilian, 2020. "Aftershock probabilistic seismic hazard analysis for Bushehr province in Iran using ETAS model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 100(3), pages 1159-1170, February.
  7. Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  8. Weijin Xu & Jian Wu & Mengtan Gao, 2023. "Temporal distribution model and occurrence probability of M ≥ 6.5 earthquakes in North China Seismic Zone," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 119(1), pages 125-141, October.
  9. Ting Wang & Mark Bebbington & David Harte, 2012. "Markov-modulated Hawkes process with stepwise decay," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(3), pages 521-544, June.
  10. D. Gospodinov & V. Karakostas & E. Papadimitriou, 2015. "Seismicity rate modeling for prospective stochastic forecasting: the case of 2014 Kefalonia, Greece, seismic excitation," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 79(2), pages 1039-1058, November.
  11. Peng, Roger, 2003. "Multi-dimensional Point Process Models in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i16).
  12. Vipul Aggarwal & Elina H. Hwang & Yong Tan, 2021. "Learning to Be Creative: A Mutually Exciting Spatiotemporal Point Process Model for Idea Generation in Open Innovation," Information Systems Research, INFORMS, vol. 32(4), pages 1214-1235, December.
  13. Baichuan Yuan & Frederic P. Schoenberg & Andrea L. Bertozzi, 2021. "Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1127-1152, December.
  14. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
  15. Fama, Yuchen & Pozdnyakov, Vladimir, 2011. "A test for self-exciting clustering mechanism," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1541-1546, October.
  16. Eric W. Fox & Martin B. Short & Frederic P. Schoenberg & Kathryn D. Coronges & Andrea L. Bertozzi, 2016. "Modeling E-mail Networks and Inferring Leadership Using Self-Exciting Point Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 564-584, April.
  17. Jesper Møller & Jakob G. Rasmussen, 2006. "Approximate Simulation of Hawkes Processes," Methodology and Computing in Applied Probability, Springer, vol. 8(1), pages 53-64, March.
  18. Frederic Paik Schoenberg, 2004. "Testing Separability in Spatial-Temporal Marked Point Processes," Biometrics, The International Biometric Society, vol. 60(2), pages 471-481, June.
  19. Lizhen Xu & Jason A. Duan & Andrew Whinston, 2014. "Path to Purchase: A Mutually Exciting Point Process Model for Online Advertising and Conversion," Management Science, INFORMS, vol. 60(6), pages 1392-1412, June.
  20. Kirchner, Matthias & Torrisi, Giovanni Luca, 2023. "Fluctuations and precise deviations of cumulative INAR time series," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 1-32.
  21. Cynthia Rudin & Şeyda Ertekin & Rebecca Passonneau & Axinia Radeva & Ashish Tomar & Boyi Xie & Stanley Lewis & Mark Riddle & Debbie Pangsrivinij & Tyler McCormick, 2014. "Analytics for Power Grid Distribution Reliability in New York City," Interfaces, INFORMS, vol. 44(4), pages 364-383, August.
  22. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  23. Naveed Chehrazi & Thomas A. Weber, 2015. "Dynamic Valuation of Delinquent Credit-Card Accounts," Management Science, INFORMS, vol. 61(12), pages 3077-3096, December.
  24. Philip A. White & Alan E. Gelfand, 2021. "Generalized Evolutionary Point Processes: Model Specifications and Model Comparison," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 1001-1021, September.
  25. Vincenzo Convertito & Hossein Ebrahimian & Ortensia Amoroso & Fatemeh Jalayer & Raffaella De Matteis & Paolo Capuano, 2021. "Time-Dependent Seismic Hazard Analysis for Induced Seismicity: The Case of St Gallen (Switzerland), Geothermal Field," Energies, MDPI, vol. 14(10), pages 1-17, May.
  26. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 406-424.
  27. Chevallier, Julien, 2017. "Mean-field limit of generalized Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3870-3912.
  28. Sobin Joseph & Shashi Jain, 2024. "Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes," Papers 2402.04740, arXiv.org.
  29. Frederic Paik Schoenberg & Marc Hoffmann & Ryan J. Harrigan, 2019. "A recursive point process model for infectious diseases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1271-1287, October.
  30. Reis, Edna A. & Gamerman, Dani & Paez, Marina S. & Martins, Thiago G., 2013. "Bayesian dynamic models for space–time point processes," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 146-156.
  31. Huang, Lorick & Khabou, Mahmoud, 2023. "Nonlinear Poisson autoregression and nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 201-241.
  32. Garra, Roberto & Polito, Federico, 2011. "A note on fractional linear pure birth and pure death processes in epidemic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3704-3709.
  33. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
  34. Giada Adelfio & Marcello Chiodi, 2021. "Including covariates in a space-time point process with application to seismicity," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 947-971, September.
  35. Møller, Jesper & Torrisi, Giovanni Luca, 2007. "The pair correlation function of spatial Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 77(10), pages 995-1003, June.
  36. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  37. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
  38. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," LIDAM Discussion Papers ISBA 2021028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  39. Stindl, Tom & Chen, Feng, 2018. "Likelihood based inference for the multivariate renewal Hawkes process," Computational Statistics & Data Analysis, Elsevier, vol. 123(C), pages 131-145.
  40. Holliday, James R. & Turcotte, Donald L. & Rundle, John B., 2008. "Self-similar branching of aftershock sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 933-943.
  41. Zhang, Tonglin & Zhuang, Run, 2017. "Testing proportionality between the first-order intensity functions of spatial point processes," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 72-82.
  42. Chenlong Li & Zhanjie Song & Wenjun Wang, 2020. "Space–time inhomogeneous background intensity estimators for semi-parametric space–time self-exciting point process models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(4), pages 945-967, August.
  43. Steffen Volkenand & Günther Filler & Martin Odening, 2020. "Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities," Risks, MDPI, vol. 8(3), pages 1-17, July.
  44. O. Cronie & M. N. M. Van Lieshout, 2015. "A J -function for Inhomogeneous Spatio-temporal Point Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(2), pages 562-579, June.
  45. Sebastian Meyer & Johannes Elias & Michael Höhle, 2012. "A Space–Time Conditional Intensity Model for Invasive Meningococcal Disease Occurrence," Biometrics, The International Biometric Society, vol. 68(2), pages 607-616, June.
  46. Dewei Wang & Chendi Jiang & Chanseok Park, 2019. "Reliability analysis of load-sharing systems with memory," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 25(2), pages 341-360, April.
  47. Yosihiko Ogata & Koichi Katsura & Masaharu Tanemura, 2003. "Modelling heterogeneous space–time occurrences of earthquakes and its residual analysis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(4), pages 499-509, October.
  48. Gilian van den Hengel & Philip Hans Franses, 2020. "Forecasting Social Conflicts in Africa Using an Epidemic Type Aftershock Sequence Model," Forecasting, MDPI, vol. 2(3), pages 1-25, August.
  49. Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  50. Sumanta Pasari & Onkar Dikshit, 2018. "Stochastic earthquake interevent time modeling from exponentiated Weibull distributions," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 90(2), pages 823-842, January.
  51. Borrajo, M.I. & González-Manteiga, W. & Martínez-Miranda, M.D., 2020. "Bootstrapping kernel intensity estimation for inhomogeneous point processes with spatial covariates," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
  52. Yongtao Guan, 2006. "Tests for Independence between Marks and Points of a Marked Point Process," Biometrics, The International Biometric Society, vol. 62(1), pages 126-134, March.
  53. Jakob Gulddahl Rasmussen, 2013. "Bayesian Inference for Hawkes Processes," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 623-642, September.
  54. Vamsi K. Potluru & Daniel Borrajo & Andrea Coletta & Niccol`o Dalmasso & Yousef El-Laham & Elizabeth Fons & Mohsen Ghassemi & Sriram Gopalakrishnan & Vikesh Gosai & Eleonora Kreav{c}i'c & Ganapathy Ma, 2023. "Synthetic Data Applications in Finance," Papers 2401.00081, arXiv.org.
  55. Martin Magris, 2019. "On the simulation of the Hawkes process via Lambert-W functions," Papers 1907.09162, arXiv.org.
  56. Jiménez, Abigail, 2011. "Comparison of the Hurst and DEA exponents between the catalogue and its clusters: The California case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2146-2154.
  57. Giada Adelfio & Yosihiko Ogata, 2010. "Hybrid kernel estimates of space–time earthquake occurrence rates using the epidemic-type aftershock sequence model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 127-143, February.
  58. Habtemicael, Semere & SenGupta, Indranil, 2014. "Ornstein–Uhlenbeck processes for geophysical data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 147-156.
  59. Jamie Olson & Kathleen Carley, 2013. "Exact and approximate EM estimation of mutually exciting hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 16(1), pages 63-80, April.
  60. Kuroda, Kaori & Hashiguchi, Hiroki & Fujiwara, Kantaro & Ikeguchi, Tohru, 2014. "Reconstruction of network structures from marked point processes using multi-dimensional scaling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 194-204.
  61. Rakhee Dinubhai Patel & Frederic Paik Schoenberg, 2011. "A graphical test for local self-similarity in univariate data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(11), pages 2547-2562, January.
  62. Markéta Zikmundová & Kateřina Staňková Helisová & Viktor Beneš, 2012. "Spatio-Temporal Model for a Random Set Given by a Union of Interacting Discs," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 883-894, September.
  63. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  64. Md. Asaduzzaman & A. Latif, 2014. "A parametric Markov renewal model for predicting tropical cyclones in Bangladesh," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 73(2), pages 597-612, September.
  65. Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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