A Bayesian nonparametric Hawkes process with hierarchical GPD marks achieves the best held-out predictive performance for nonstationary clustered extreme events among compared variants.
CRC Press, Boca Raton, FL (2013)
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Bayesian Modelling of Nonstationary Extreme Values Using a Nonparametric Hawkes Process
A Bayesian nonparametric Hawkes process with hierarchical GPD marks achieves the best held-out predictive performance for nonstationary clustered extreme events among compared variants.