An ephemerally self-exciting point process

DOI10.1017/APR.2021.35zbMATH Open1490.60121arXiv1811.04282OpenAlexW3014934899MaRDI QIDQ5084789FDOQ5084789

Authors: Andrew Daw, Jamol Pender 

Publication date: 28 June 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only influence the future as long as they remain active. For example, a person spreads a contagious disease only as long as they are contagious. In this paper, we define a novel generalization of the Hawkes process that we call the ephemerally self-exciting process. In this new stochastic process, the excitement from one arrival lasts for a randomly drawn activity duration, hence the ephemerality. Our study includes exploration of the process itself as well as connections to well-known stochastic models such as branching processes, random walks, epidemics, preferential attachment, and Bayesian mixture models. Furthermore, we prove a batch scaling construction of general, marked Hawkes processes from a general ephemerally self-exciting model, and this novel limit theorem both provides insight into the Hawkes process and motivates the model contained herein as an attractive self-exciting process in its own right.

Full work available at URL: https://arxiv.org/abs/1811.04282

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zbMATH Keywords

point processHawkes processcontagionself-excitementinteraction models

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Jump processes on discrete state spaces (60J74)

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Cited In (11)

• Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data
• A novel point process model for COVID-19: multivariate recursive Hawkes process
• A transient symmetry analysis for the \(M/M/1/k\) queue
• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
• Bayesian mitigation of spatial coarsening for a Hawkes model applied to gunfire, wildfire and viral contagion
• An extension of Hawkes processes with ephemeral nearest effects
• Markov-modulated Hawkes processes for modeling sporadic and bursty event occurrences in social interactions
• Adaptively Sparse Transformers Hawkes Process
• Matrix calculations for moments of Markov processes
• Locally stationary Hawkes processes
• Modelling social media contagion using Hawkes processes

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