Post-Doctoral Research Visit F/M Inference And Miss-Specification For Hawkes And Related Processes

Inria

Description

2021-03634 - Post-Doctoral Research Visit F/M Inference and miss- specification for Hawkes and related processes

Level of qualifications required : PhD or equivalent

Fonction : Post-Doctoral Research Visit

Level of experience : Recently graduated

Assignments :

Hawkes processes (Hawkes, 1971) are models of point processes which present self-excitation. With their extensions (marked, multivariate, ...), they are nowadays used as models in many domains: seismology, finance (high-frequency, contagion), neurosciences, insurance, social networks analysis, and so on.

Thus, even in the simples cases, the inference of their parameters of such models is challenging: lack of convexity (Santos et al, 2021), miss- specifications when the so-called branching ratio is close to 1 (Filiminov and Sornette, 2015). In addition, when the stationary regime is reached, the Hawkes process shares some characteristics of a Poisson process. The impact on the quality of the inference seems not to have been quantified. Besides, real situations implies to deal also with noisy or missing data (Deutsch and Ross, 2020).

The goal of the post-doctoral research is to give a deep look at the miss- specification problem in the inference of Hawkes processes, as well as to develop suitable methods to estimate the parameters or other informations contained in the observed process (value of marks, identification of the branching structures, ...), with an interest given on quantifying the estimation errors and to deal with practical situations.

Responsibilities : The person recruited is responsible for developping his/her own research agenda on the topic.

Steering/Management : The person recruited could be involved in internship supervisions.

Main activities

Main activities (5 maximum) : research; coding; publishing; exchaning with partners.

Skills

Technical skills and level required : stochastic analysis (diffusion, jump models, point processes); inference; Monte Carlo simulation

Languages : english or french

Relational skills : communication

Other valued appreciated : scientific computing

Benefits package

Subsidized meals

Partial reimbursement of public transport costs

Leave: 7 weeks of annual leave + 10 extra days off due to RTT (statutory reduction in working hours) + possibility of exceptional leave (sick children, moving home, etc.)

Possibility of teleworking (after 6 months of employment) and flexible organization of working hours

Professional equipment available (videoconferencing, loan of computer equipment, etc.)

Social, cultural and sports events and activities

Access to vocational training

Social security coverage

Remuneration

Salary: 2653€ gross/month

General Information

Theme/Domain : Stochastic approaches Statistics (Big data) (BAP E)

Town/city : Villerslès Nancy

Inria Center : CRI Nancy - Grand Est

Starting date : 2021-09-01

Duration of contract : 1 year, 4 months

Deadline to apply : 2021-05-31

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