Hawkes Processes Modeling, Inference, and Control: An Overview

DOI10.1137/21M1396927MaRDI QIDQ6046286zbMATH OpenOpenAlexFDO

Authors

Publication date 10 May 2023

Published in SIAM Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.13073

zbMATH Keywords

machine learningpoint processesHawkes processes

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and prediction (62M20)

Abstract: 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 surge of different tools and algorithms have showed their way up to top-tier Machine Learning conferences. This work aims to give a broad view of the recent advances on the Hawkes Processes modeling and inference to a newcomer to the field.

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Cited in

(5)

• Influence network reconstruction from discrete time-series of count data modelled by multidimensional Hawkes processes
• A neural network based model for multi-dimensional non-linear Hawkes processes
• Hiding backdoors within event sequence data via poisoning attacks
• Multistream-Based Marked Point Process With Decomposed Cumulative Hazard Functions
• Numerical analysis of an extended mean field game for harvesting common fishery resource

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