Fitting inhomogeneous Poisson via LSE

X-DataInitiative / tick

Module for statistical learning, with a particular emphasis on time-dependent modelling

https://x-datainitiative.github.io/tick/

BSD 3-Clause "New" or "Revised" License

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Fitting inhomogeneous Poisson via LSE #437

Closed dionman closed 4 years ago

dionman commented 4 years ago

Is LSE (or MSE) fitting of an inhomogeneous Poisson process on a given events sequence supported at the moment?

Mbompr commented 4 years ago

Hello, No only Hawkes processes can be fit with this lib. What kind of loss would you like to minimize to estimate an inhomogeneous Poisson process if you make to hypothesis?

dionman commented 4 years ago

I was thinking about the standard least-square estimation of λ objective function. Can you point me to the analytical expression you use to compute the least square loss in hawkes_expkern_leastsq?

Mbompr commented 4 years ago

It is described in I.2 of https://tel.archives-ouvertes.fr/tel-02316143/document

dionman commented 4 years ago

thanks!