Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions

DOI10.1111/JTSA.12213zbMATH Open1360.62445arXiv1605.06759OpenAlexW2403458786MaRDI QIDQ2968465FDOQ2968465

Authors: Michael Eichler, R. Dahlhaus, Johannes Dueck 

Publication date: 16 March 2017

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

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.

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

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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)

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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
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• Stability of point process spiking neuron models
• Estimating the interaction graph of stochastic neuronal dynamics by observing only pairs of neurons
• Multivariate Hawkes processes with spatial covariates for spatiotemporal event data analysis
• Uncovering causality from multivariate Hawkes integrated cumulants
• Rejoinder on: ``A review of self-exciting spatio-temporal point processes and their applications
• Nonparametric Bayesian estimation for multivariate Hawkes processes
• Causal deep learning: encouraging impact on real-world problems through causality
• Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
• Subbotin graphical models for extreme value dependencies with applications to functional neuronal connectivity
• State-dependent Hawkes processes and their application to limit order book modelling
• Dependencies in complex systems
• Multivariate spatiotemporal Hawkes processes and network reconstruction
• Nonparametric estimation of locally stationary Hawkes processes
• Hawkes graphs
• The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience
• Efficient EM-variational inference for nonparametric Hawkes process
• Nonlinear Poisson autoregression and nonlinear Hawkes processes
• Mixed orthogonality graphs for continuous-time stationary processes
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
• Bayesian estimation of nonlinear Hawkes processes
• 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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