Bayesian estimation of nonlinear Hawkes processes
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Abstract: Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of occurrences of new events depend on the past of the process is the Hawkes process. In this work we consider the nonlinear Hawkes process, which notably models excitation and inhibition phenomena between dimensions of the process. In a nonparametric Bayesian estimation framework, we obtain concentration rates of the posterior distribution on the parameters, under mild assumptions on the prior distribution and the model. These results also lead to convergence rates of Bayesian estimators. Another object of interest in event-data modelling is to recover the graph of interaction - or Granger connectivity graph - of the phenomenon. We provide consistency guarantees on Bayesian methods for estimating this quantity; in particular, we prove that the posterior distribution is consistent on the graph adjacency matrix of the process, as well as a Bayesian estimator based on an adequate loss function.
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Cited in
(7)- Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets
- Estimating product cannibalisation in wholesale using multivariate Hawkes processes with inhibition
- Nonparametric Bayesian intensity estimation for covariate-driven inhomogeneous point processes
- PCA for point processes
- Lasso-type estimator and classification algorithm for high-dimensional multivariate Hawkes processes
- Multivariate Hawkes process allowing for common shocks
- Testing procedures based on maximum likelihood estimation for marked Hawkes processes
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