Latent Network Structure Learning From High-Dimensional Multivariate Point Processes

DOI10.1080/01621459.2022.2102019arXiv2004.03569OpenAlexW3015784949MaRDI QIDQ6153972FDOQ6153972

Authors: Biao Cai, Jingfei Zhang, Yongtao Guan 

Publication date: 19 March 2024

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Learning the latent network structure from large scale multivariate point process data is an important task in a wide range of scientific and business applications. For instance, we might wish to estimate the neuronal functional connectivity network based on spiking times recorded from a collection of neurons. To characterize the complex processes underlying the observed data, we propose a new and flexible class of nonstationary Hawkes processes that allow both excitatory and inhibitory effects. We estimate the latent network structure using an efficient sparse least squares estimation approach. Using a thinning representation, we establish concentration inequalities for the first and second order statistics of the proposed Hawkes process. Such theoretical results enable us to establish the non-asymptotic error bound and the selection consistency of the estimated parameters. Furthermore, we describe a least squares loss based statistic for testing if the background intensity is constant in time. We demonstrate the efficacy of our proposed method through simulation studies and an application to a neuron spike train data set.

Full work available at URL: https://arxiv.org/abs/2004.03569

zbMATH Keywords

nonstationaryselection consistencymultivariate Hawkes processnonlinear Hawkes processnon asymptotic error bound

Mathematics Subject Classification ID

Statistics (62-XX)

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