Related papers: A Multidimensional Fractional Hawkes Process for M…
Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…
Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known as the Epidemic-Type Aftershock Sequence…
The Hawkes process is used to model point process data where events occur in clusters and bursts. In a standard multivariate Hawkes process, every event that occurs in a dimension has an equal impact on the process intensity. However, this…
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta} of seismicity after an earthquake) and…
We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…
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…
Hawkes processes are often applied to model dependence and interaction phenomena in multivariate event data sets, such as neuronal spike trains, social interactions, and financial transactions. In the nonparametric setting, learning the…
The ETAS models are currently the most popular in the field of earthquake forecasting. The MCMC method is time-consuming and limited by parameter correlation while bringing parameter uncertainty. The INLA-based method "inlabru" solves these…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how graph-theoretic vocabulary…
The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…
It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from…
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and indirect aftershocks in seismicity) and 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…
The Hawkes process is a simple point process that has long memory, clustering effect, self-exciting property and is in general non-Markovian. The future evolution of a self-exciting point process is influenced by the timing of the past…
The physics of earthquake triggering together with simple assumptions of self-similarity impose the existence of a minimum magnitude m0 below which earthquakes do not trigger other earthquakes. Noting that the magnitude md of completeness…
Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…
Numerous studies grounded on Hawkes processes have been carried out in many fields including finance, biology and social network. Hawkes processes form a class of selfexciting simple point processes. In this article, we consider a general…
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…