Related papers: An Ephemerally Self-Exciting Point Process
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determine the corresponding time-dependent joint probability…
Learning causal structure among event types from discrete-time event sequences is a particularly important but challenging task. Existing methods, such as the multivariate Hawkes processes based methods, mostly boil down to learning the…
Consider observing a collection of discrete events within a network that reflect how network nodes influence one another. Such data are common in spike trains recorded from biological neural networks, interactions within a social network,…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process. Like the Hawkes process, the HQH model can capture the…
In this work, we study the event occurrences of individuals interacting in a network. To characterize the dynamic interactions among the individuals, we propose a group network Hawkes process (GNHP) model whose network structure is observed…
We present a new CUSUM procedure for sequentially detecting change-point in the self and mutual exciting processes, a.k.a. Hawkes networks using discrete events data. Hawkes networks have become a popular model for statistics and machine…
Stochastic HYPE is a novel process algebra that models stochastic, instantaneous and continuous behaviour. It develops the flow-based approach of the hybrid process algebra HYPE by replacing non-urgent events with events with…
This work contributes to the theory and applications of Hawkes processes. We introduce and examine a new class of Hawkes processes that we call generalized Hawkes processes, and their special subclass -- the generalized multivariate Hawkes…
Predicting popularity, or the total volume of information outbreaks, is an important subproblem for understanding collective behavior in networks. Each of the two main types of recent approaches to the problem, feature-driven and generative…
As a powerful tool of asynchronous event sequence analysis, point processes have been studied for a long time and achieved numerous successes in different fields. Among various point process models, Hawkes process and its variants attract…
This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally excited patterns. For such processes, we introduce the concept…
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…
Due to its clustering and self-exciting properties, the Hawkes process has been used extensively in numerous fields ranging from sismology to finance. Since data is often aquired on regular time intervals, we propose a piece-wise constant…
Quantifying influence in networks is important across science, economics, and public health, yet widely used centrality measures remain limited: they rely on static representations, heuristic network constructions, and purely endogenous…
Generalized evolutionary point processes offer a class of point process models that allows for either excitation or inhibition based upon the history of the process. In this regard, we propose modeling which comprises generalization of the…
Epidemic spreading often occurs in spatially heterogeneous environments, yet how quenched heterogeneity reshapes its onset and critical dynamics remains poorly understood. The diffusive epidemic process, a minimal reaction-diffusion model…
The Hawkes process is a counting process that has self- and mutually-exciting features with many applications in various fields. In recent years, there have been many interests in the mean-field results of the Hawkes process and its…
The process algebra HYPE was recently proposed as a fine-grained modelling approach for capturing the behaviour of hybrid systems. In the original proposal, each flow or influence affecting a variable is modelled separately and the overall…
Previous work has shown that popular trending events are important external factors which pose significant influence on user search behavior and also provided a way to computationally model this influence. However, their problem formulation…