Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions

DOI10.1111/JTSA.12213MaRDI QIDQ2968465zbMATH OpenOpenAlexFDO

Authors Michael Eichler, R. Dahlhaus, Johannes Dueck

Publication date 16 March 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.06759

zbMATH Keywords

nonparametric estimationgraphical modelGranger causalityHawkes processmutually exciting process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: estimation (62M09)

Abstract: 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 the corresponding link functions of the model. A new nonparametric estimator of the link functions based on a time-discretized version of the point process is introduced by using an infinite order autoregression. Consistency of the new estimator is derived. The estimator is applied to simulated data and to neural spike train data from the spinal dorsal horn of a rat.

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Cited in

(25)

• Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
• Doubly time-dependent Hawkes process and applications in failure sequence analysis
• Estimating the interaction graph of stochastic neuronal dynamics by observing only pairs of neurons
• scientific article; zbMATH DE number 7306920 (Why is no real title available?)
• Stability of point process spiking neuron models
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• Graph-based mutually exciting point processes for modelling event times in docked bike-sharing systems
• Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process

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