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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