Mutually Exciting Point Process Graphs for Modeling Dynamic Networks

DOI10.1080/10618600.2022.2096048MaRDI QIDQ6047120zbMATH OpenOpenAlexFDO

Authors Francesco Sanna Passino, Nicholas A. Heard

Publication date 9 October 2023

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2102.06527

zbMATH Keywords

dynamic networksHawkes processself-exciting processstatistical cyber-security

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: A new class of models for dynamic networks is proposed, called mutually exciting point process graphs (MEG). MEG is a scalable network-wide statistical model for point processes with dyadic marks, which can be used for anomaly detection when assessing the significance of future events, including previously unobserved connections between nodes. The model combines mutually exciting point processes to estimate dependencies between events and latent space models to infer relationships between the nodes. The intensity functions for each network edge are characterised exclusively by node-specific parameters, which allows information to be shared across the network. This construction enables estimation of intensities even for unobserved edges, which is particularly important in real world applications, such as computer networks arising in cyber-security. A recursive form of the log-likelihood function for MEG is obtained, which is used to derive fast inferential procedures via modern gradient ascent algorithms. An alternative EM algorithm is also derived. The model and algorithms are tested on simulated graphs and real world datasets, demonstrating excellent performance.

Cited in

(8)

• SimHawNet: a modified Hawkes process for temporal network simulation
• Online Bayesian changepoint detection for network Poisson processes with community structure
• Tracking Dynamic Point Processes on Networks
• Quantifying Statistical Interdependence by Message Passing on Graphs—Part II: Multidimensional Point Processes
• A community Hawkes model for continuous-time networks with interaction heterogeneity
• Mean-field limits for non-linear Hawkes processes with inhibition on a Erdős-Rényi-graph
• Mutually exciting point processes for crowdfunding platform dynamics
• Graph-based mutually exciting point processes for modelling event times in docked bike-sharing systems

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