Multivariate Hawkes Processes for Large-Scale Inference

  title={Multivariate Hawkes Processes for Large-Scale Inference},
  author={R{\'e}mi Lemonnier and Kevin Scaman and Argyris Kalogeratos},
In this paper, we present a framework for fitting multivariate Hawkes processes for large-scale problems, both in the number of events in the observed history n and the number of event types d (i.e. dimensions). The proposed Scalable LowRank Hawkes Process (SLRHP) framework introduces a lowrank approximation of the kernel matrix that allows to perform the nonparametric learning of the d triggering kernels in at most O(ndr) operations, where r is the rank of the approximation (r d, n). This… CONTINUE READING
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