Exact Phase-Type Point Processes for Certified Measurement and Prediction of Event Streams
Temporal point processes are used both to measure market mechanisms, for example how fast prices absorb news and how much of the reaction is the market responding to itself, and to predict the next event. We show that one algebraic object, the phase-type (Erlang-chain) state space, serves both purposes with exact likelihoods. For measurement, we build a multiscale phase-type Hawkes process whose parameters all enter linearly. Its log-likelihood is concave, and we compute the global maximum together with a Fenchel duality-gap certificate. A Markov embedding gives the response to an exogenous shock, echoes included, in closed form, and this response is stable if and only if the spectral rad...
| Authors | Sayak Dutta |
|---|---|
| Primary category | cs.LG |
| Published | 10 October 2026 |
| Last updated at source | 10 October 2026 |
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