Related papers: Massively Parallel Exact Inference for Hawkes Proc…
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…
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…
The stationarity is assumed in vanilla Hawkes process, which reduces the model complexity but introduces a strong assumption. In this paper, we propose a fast multi-resolution segmentation algorithm to capture the time-varying…
We derive exact analytical expressions for the cumulants of any orders of neuronal membrane potentials driven by spike trains in a multivariate Hawkes process model with excitation and inhibition. Such expressions can be used for the…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
Efforts to model viral cascades provide a vital view into how they form and spread. A range of methods, such as Multivariate Hawkes Processes or network inference algorithms, attempt to decompose cascades into constituent components via…
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…
In this work, we optimize speculative sampling for parallel hardware accelerators to improve sampling speed. We notice that substantial portions of the intermediate matrices necessary for speculative sampling can be computed concurrently.…
The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further arrivals in the near future. The model, and its…
Generalized-ensemble Monte Carlo simulations such as the multicanonical method and similar techniques are among the most efficient approaches for simulations of systems undergoing discontinuous phase transitions or with rugged free- energy…
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…
This paper proves the consistency property for the regularized maximum likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also develops an alternating minimization type algorithm (AA-iPALM) to compute the MLEs with…
Statistical modeling of point patterns is an important and common problem in several areas. The Poisson process is the most common process used for this purpose, in particular, its generalization that considers the intensity function to be…
We propose a probabilistic model for the parallel execution of Las Vegas algorithms, i.e., randomized algorithms whose runtime might vary from one execution to another, even with the same input. This model aims at predicting the parallel…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
We consider the design of efficient algorithms for a multicore computing environment with a global shared memory and p cores, each having a cache of size M, and with data organized in blocks of size B. We characterize the class of…
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…
The rapid growth in genomic pathogen data spurs the need for efficient inference techniques, such as Hamiltonian Monte Carlo (HMC) in a Bayesian framework, to estimate parameters of these phylogenetic models where the dimensions of the…
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger causality structure of such processes is fully encoded in…