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Questions tagged [hawkes]

A Hawkes process is a self-exciting point process.

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19 views

Latent Point Process Inference

I need to perform inference on a point process, by which I mean I need a statistical model from which I can (at least) estimate likelihoods. The underlying process appears to have a latent structure, ...
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1answer
394 views

Fit Hawkes process to 1d data using python package TICK

How can one fit the 1-dimensional Hawkes process with exponential kernel to the experimental 1d dataset (t1,t2,t3...tn) and check the goodness-of-fit via tick python3 package? I found on official ...
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0answers
71 views

Estimation of unobserved Hawkes Process

I have been trying to implement following procedure: 1. Generate Hawkes process with parameters following SDE $$d\lambda_t = \kappa (\lambda_\infty - \lambda_t)dt + \delta_1 dN_t $$ 2.Estimate ...
4
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1answer
156 views

Hawkes-Process for non binary events

I am currently using a univariate Hawkes-process for modeling the behaviour of agents in a social network. For example, the likelihood that a user will tweet in the next period is defined by the ...
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2answers
225 views

What are the closed-form expressions for the moments of the (exponential) Hawkes process?

I understand that in the method of moments, one takes theoretical expressions for the first several moments in one vector, and empirical moments in another vector, and then finds the parameters that ...
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632 views

Difference between time series prediction vs point process prediction

I am working on a problem of predicting event counts based on user history. This is a classical time series analysis problem, and I used the ARIMA model: (wiki). I also applied a Hawkes point process ...
2
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1answer
760 views

Hawkes process parameter estimation

I have a long time series of a clustered point process. I would like to make predictions, and I was trying to model such a process with an Hawkes process. The Hawkes process is a double stochastic ...