Related papers: Self-exciting point process modeling of conversati…
Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…
Self-exciting spatio-temporal point process models predict the rate of events as a function of space, time, and the previous history of events. These models naturally capture triggering and clustering behavior, and have been widely used in…
We present the first exact analysis of some of the temporal properties of multivariate self-excited Hawkes conditional Poisson processes, which constitute powerful representations of a large variety of systems with bursty events, for which…
The Hawkes process has become a standard method for modeling self-exciting event sequences with different event types. A recent work has generalized the Hawkes process to a neurally self-modulating multivariate point process, which enables…
Animal acoustic communication often exhibits temporal dependence, with calls triggering or suppressing subsequent calls within and across call types, individuals, or species. While Hawkes processes provide a natural framework for modeling…
Asynchronous events on the continuous time domain, e.g., social media actions and stock transactions, occur frequently in the world. The ability to recognize occurrence patterns of event sequences is crucial to predict which typeof events…
We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…
Hawkes processes are a class of point processes that have the ability to model the self- and mutual-exciting phenomena. Although the classic Hawkes processes cover a wide range of applications, their expressive ability is limited due to…
Hawkes processes are a class of self-exciting point processes that are used to model complex phenomena. While most applications of Hawkes processes assume that event data occurs in continuous-time, the less-studied discrete-time version of…
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…
Many events occur in the world. Some event types are stochastically excited or inhibited---in the sense of having their probabilities elevated or decreased---by patterns in the sequence of previous events. Discovering such patterns can help…
Event-driven systems in fields such as neuroscience, social networks, and finance often exhibit dynamics influenced by continuously evolving external covariates. Motivated by these applications, we introduce a new class of multivariate…
Traditionally, Hawkes processes are used to model time--continuous point processes with history dependence. Here we propose an extended model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process.…
The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…
The contagion dynamics can emerge in social networks when repeated activation is allowed. An interesting example of this phenomenon is retweet cascades where users allow to re-share content posted by other people with public accounts. To…
Trade executions for major stocks come in bursts of activity, which can be partly attributed to the presence of self- and mutual excitations endogenous to the system. In this paper, we study transaction reports for five FTSE 100 stocks. We…
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…
Self-exciting point processes describe the manner in which every event facilitates the occurrence of succeeding events. By increasing excitability, the event occurrences start to exhibit bursts even in the absence of external stimuli. We…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…
We study a multivariate Hawkes process as a model for time-continuous relational event networks. The model does not assume the network to be known, it includes covariates, and it allows for both common drivers, parameters common to all the…