相关论文: An Ephemerally Self-Exciting Point Process

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…

Reading is a process that unfolds across space and time, alternating between fixations where a reader focuses on a specific point in space, and saccades where a reader rapidly shifts their focus to a new point. An ansatz of…

We generalise the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph $\mathbb G$. The process is constructed as the solution to a system of Poisson driven stochastic…

This chapter provides an accessible introduction for point processes, and especially Hawkes processes, for modeling discrete, inter-dependent events over continuous time. We start by reviewing the definitions and the key concepts in point…

We investigate how the properties of inhomogeneous patterns of activity, appearing in many natural and social phenomena, depend on the temporal resolution used to define individual bursts of activity. To this end, we consider time series of…

The Hawkes process is a versatile stochastic model for point patterns that exhibit self-excitation, that is, the property that an event occurrence increases the rate of occurrence for some period of time in the future. We present a Bayesian…

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 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…

Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…

Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience,…

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…

Many self-exciting systems change because endogenous amplification, as opposed to exogenous forcing, varies. We study a Hawkes process with fixed background rate and kernel, but piecewise time-varying productivity. For exponential kernels…

We introduce a new type of point process model to describe the incidence of contagious diseases. The model is a variant of the Hawkes self-exciting process and exhibits similar clustering but without the restriction that the component…

Hawkes process is one of the most commonly used models for investigating the self-exciting nature of earthquake occurrences. However, seismicity patterns have complicated characteristics due to heterogeneous geology and stresses, for which…

We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…

We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is defined as the integrated parameter…

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…

In the last decade, Hawkes processes have received a lot of attention as good models for functional connectivity in neural spiking networks. In this paper we consider a variant of this process, the Age Dependent Hawkes process, which…

Classic results show that the Hawkes self-exciting point process can be viewed as a collection of temporal clusters, where exogenously generated initial events give rise to endogenously driven descendant events. This perspective provides…

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…