Network Estimation From Point Process Data

DOI10.1109/TIT.2018.2875766zbMATH Open1431.94215arXiv1802.04838OpenAlexW2963550386WikidataQ98839715 ScholiaQ98839715MaRDI QIDQ5223980FDOQ5223980

Authors: Benjamin Mark, Garvesh Raskutti, Rebecca Willett 

Publication date: 19 July 2019

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

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.

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)

Cited In (13)

• Fast estimation of multivariate spatiotemporal Hawkes processes and network reconstruction
• A parameter estimation method for multivariate binned Hawkes processes
• High dimensional generalized linear models for temporal dependent data
• Testing for high-dimensional network parameters in auto-regressive models
• Tracking Dynamic Point Processes on Networks
• Sparse space-time models: concentration inequalities and Lasso
• Multivariate spatiotemporal Hawkes processes and network reconstruction
• Shifted extended global Lanczos processes for trace estimation with application to network analysis
• Parameter Estimation of Binned Hawkes Processes
• Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes
• Title not available (Why is that?)
• Point-process models of social network interactions: Parameter estimation and missing data recovery
• Estimating network edge probabilities by neighbourhood smoothing

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