Related papers: FaDIn: Fast Discretized Inference for Hawkes Proce…
Predicting discrete events in time and space has many scientific applications, such as predicting hazardous earthquakes and outbreaks of infectious diseases. History-dependent spatio-temporal Hawkes processes are often used to…
In recent years, mining the knowledge from asynchronous sequences by Hawkes process is a subject worthy of continued attention, and Hawkes processes based on the neural network have gradually become the most hotly researched fields,…
Determinantal point processes (DPPs) offer an elegant tool for encoding probabilities over subsets of a ground set. Discrete DPPs are parametrized by a positive semidefinite matrix (called the DPP kernel), and estimating this kernel is key…
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…
Temporal point processes are powerful generative models for event sequences that capture complex dependencies in time-series data. They are commonly specified using autoregressive models that learn the distribution of the next event from…
We study the spatio-temporal prediction problem, which has attracted the attention of many researchers due to its critical real-life applications. In particular, we introduce a novel approach to this problem. Our approach is based on the…
Event data consisting of time of occurrence of the events arises in several real-world applications. Recent works have introduced neural network based point processes for modeling event-times, and were shown to provide state-of-the-art…
Temporal point process (TPP) models combined with recurrent neural networks provide a powerful framework for modeling continuous-time event data. While such models are flexible, they are inherently sequential and therefore cannot benefit…
In this paper, we consider the sigmoid Gaussian Hawkes process model: the baseline intensity and triggering kernel of Hawkes process are both modeled as the sigmoid transformation of random trajectories drawn from Gaussian processes (GP).…
Sequences of labeled events observed at irregular intervals in continuous time are ubiquitous across various fields. Temporal Point Processes (TPPs) provide a mathematical framework for modeling these sequences, enabling inferences such as…
Multivariate Hawkes process provides a powerful framework for modeling temporal dependencies and event-driven interactions in complex systems. While existing methods primarily focus on uncovering causal structures among observed…
We estimate the general influence functions for spatio-temporal Hawkes processes using a tensor recovery approach by formulating the location dependent influence function that captures the influence of historical events as a tensor kernel.…
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…
In this work, we investigate the $hp$-discontinuous Galerkin (DG) time-stepping method for the generalized Burgers-Huxley equation with memory, a non-linear advection-diffusion-reaction problem featuring weakly singular kernels. We derive a…
A temporal point process (TPP) is a stochastic process where its realization is a sequence of discrete events in time. Recent work in TPPs model the process using a neural network in a supervised learning framework, where a training set is…
Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order structure. This class of self-exciting point processes has…
Deep Gaussian process models typically employ discrete hierarchies, but recent advancements in differential Gaussian processes (DiffGPs) have extended these models to infinite depths. However, existing DiffGP approaches often overlook the…
This paper introduces Sparklen, a statistical learning toolkit for Hawkes processes in Python, designed to bring together efficiency and ease of use. The purpose of this package is to provide the Python community with a complete suite of…
Existing spatio-temporal Hawkes process models typically rely on either parametric or semiparametric assumptions, limiting the model's ability to capture complex endogenous and exogenous event dynamics. We propose a fully Bayesian…
This study explores the application of Hawkes processes to model high-frequency data in the context of limit order books. Two distinct Hawkes-based models are proposed and analyzed: one utilizing exponential kernels and the other employing…