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Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
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 self-exciting stochastic process used to describe phenomena whereby past events increase the probability of the occurrence of future events. This work presents a flexible approach for modelling a variant of these,…
Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated…
The superposition of temporal point processes has been studied for many years, although the usefulness of such models for practical applications has not be fully developed. We investigate superposed Hawkes process as an important class of…
Hawkes process provides an effective statistical framework for analyzing the time-dependent interaction of neuronal spiking activities. Although utilized in many real applications, the classic Hawkes process is incapable of modelling…
Critically ill patients in regular wards are vulnerable to unanticipated adverse events which require prompt transfer to the intensive care unit (ICU). To allow for accurate prognosis of deteriorating patients, we develop a novel…
The emergence of online social platforms, such as social networks and social media, has drastically affected the way people apprehend the information flows to which they are exposed. In such platforms, various information cascades spreading…
Patient healthcare utilization consists of irregularly time-stamped events, such as outpatient visits, inpatient admissions, and emergency encounters, forming individualized care trajectories. Modeling these trajectories is crucial for…
As an extension of self-exciting Hawkes process, the multivariate Hawkes process models counting processes of different types of random events with mutual excitement. In this paper, we present a perfect sampling algorithm that can generate…
Multivariate Hawkes processes (MHP) are a class of point processes in which events at different coordinates interact through mutual excitation. The weighted adjacency matrix of the MHP encodes the strength of the relations, and shares its…
Asynchronous events sequences are widely distributed in the natural world and human activities, such as earthquakes records, users activities in social media and so on. How to distill the information from these seemingly disorganized data…
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…
Hawkes process is a class of simple point processes with self-exciting and clustering properties. Hawkes process has been widely applied in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this…
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, variance-Hawkes process can be fit to 2018 and 2019 natural gas…
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…
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…
The Hawkes process (HP) is commonly used to model event sequences with self-reinforcing dynamics, including electronic health records (EHRs). Traditional HPs capture self-reinforcement via parametric impact functions that can be inspected…
Over the past few decades, the Hawkes process has become a popular framework for modeling temporal events thanks to its flexibility to capture different dependency structures. The objective of this work is to model call sequences emitted by…