Network Estimation From Point Process Data

DOI10.1109/TIT.2018.2875766MaRDI QIDQ5223980zbMATH OpenOpenAlexWikidataFDO

Authors Benjamin Mark, Garvesh Raskutti, Rebecca Willett

Publication date 19 July 2019

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.04838

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Estimation in multivariate analysis (62H12) Applications of graph theory to circuits and networks (94C15)

Abstract: Consider observing a collection of discrete events within a network that reflect how network nodes influence one another. Such data are common in spike trains recorded from biological neural networks, interactions within a social network, and a variety of other settings. Data of this form may be modeled as self-exciting point processes, in which the likelihood of future events depends on the past events. This paper addresses the problem of estimating self-excitation parameters and inferring the underlying functional network structure from self-exciting point process data. Past work in this area was limited by strong assumptions which are addressed by the novel approach here. Specifically, in this paper we (1) incorporate saturation in a point process model which both ensures stability and models non-linear thresholding effects; (2) impose general low-dimensional structural assumptions that include sparsity, group sparsity and low-rankness that allows bounds to be developed in the high-dimensional setting; and (3) incorporate long-range memory effects through moving average and higher-order auto-regressive components. Using our general framework, we provide a number of novel theoretical guarantees for high-dimensional self-exciting point processes that reflect the role played by the underlying network structure and long-term memory. We also provide simulations and real data examples to support our methodology and main results.

Cited in

(13)

• Estimating network edge probabilities by neighbourhood smoothing
• Shifted extended global Lanczos processes for trace estimation with application to network analysis
• Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
• Sparse space-time models: concentration inequalities and Lasso
• Multivariate spatiotemporal Hawkes processes and network reconstruction
• Point-process models of social network interactions: Parameter estimation and missing data recovery
• High dimensional generalized linear models for temporal dependent data
• Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes
• Tracking Dynamic Point Processes on Networks
• A parameter estimation method for multivariate binned Hawkes processes
• Testing for high-dimensional network parameters in auto-regressive models
• scientific article; zbMATH DE number 7626731 (Why is no real title available?)
• Parameter Estimation of Binned Hawkes Processes

This page was built for publication: Network Estimation From Point Process Data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5223980)