Related papers: Granger Causal Inference in Multivariate Hawkes Pr…
The Minimum Description Length (MDL) principle is solidly based on a provably ideal method of inference using Kolmogorov complexity. We test how the theory behaves in practice on a general problem in model selection: that of learning the…
Understanding the diffusion in social network is an important task. However, this task is challenging since (1) the network structure is usually hidden with only observations of events like "post" or "repost" associated with each node, and…
This paper studies nonparametric estimation of parameters of multivariate Hawkes processes. We consider the Bayesian setting and derive posterior concentration rates. First rates are derived for L1-metrics for stochastic intensities of the…
Multi-output Gaussian processes (MOGPs) have been introduced to deal with multiple tasks by exploiting the correlations between different outputs. Generally, MOGPs models assume a flat correlation structure between the outputs. However,…
Probabilistic programming languages can simplify the development of machine learning techniques, but only if inference is sufficiently scalable. Unfortunately, Bayesian parameter estimation for highly coupled models such as regressions and…
The problem of estimating high-dimensional network models arises naturally in the analysis of many physical, biological and socio-economic systems. Examples include stock price fluctuations in financial markets and gene regulatory networks…
Kernel methods have revolutionized the fields of pattern recognition and machine learning. Their success, however, critically depends on the choice of kernel parameters. Using Gaussian process (GP) classification as a working example, this…
A new class of Marginal Structural Models (MSMs), History-Restricted MSMs (HRMSMs), was recently introduced for longitudinal data for the purpose of defining causal parameters which may often be better suited for public health research or…
Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger…
Learning the influence structure of multiple time series data is of great interest to many disciplines. This paper studies the problem of recovering the causal structure in network of multivariate linear Hawkes processes. In such processes,…
Terrorist activities often exhibit temporal and spatial clustering, making the multivariate Hawkes process (MHP) a useful statistical model for analysing terrorism across different geographic regions. However, terror attack data from the…
This study introduces an integrated framework for predictive causal inference designed to overcome limitations inherent in conventional single model approaches. Specifically, we combine a Hidden Markov Model (HMM) for spatial health state…
In MCMC methods, such as the Metropolis-Hastings (MH) algorithm, the Gibbs sampler, or recent adaptive methods, many different strategies can be proposed, often associated in practice to unknown rates of convergence. In this paper we…
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…
Linear regression model (LRM) based on mean square error (MSE) criterion is widely used in Granger causality analysis (GCA), which is the most commonly used method to detect the causality between a pair of time series. However, when signals…
We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying…
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be…
A multivariate Hawkes process enables self- and cross-excitations through a triggering matrix that behaves like an asymmetrical covariance structure, characterizing pairwise interactions between the event types. Full-rank estimation of all…
A major limitation of machine learning (ML) prediction models is that they recover associational, rather than causal, predictive relationships between variables. In high-stakes automation applications of ML this is problematic, as the model…
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…