Bayesian estimation of nonlinear Hawkes processes

Abstract

Multivariate point processes (MPPs) are widely applied to model the occurrences of events, e.g., natural disasters, online message exchanges, financial transactions or neuronal spike trains. In the Hawkes process model, the probability of occurrences of future events depend on the past of the process. This model is particularly popular for modelling interactive phenomena such as disease expansion. In this work we consider the nonlinear multivariate Hawkes model, which allows to account for excitation and inhibition between interacting entities. We provide theoretical guarantees for applying nonparametric Bayesian estimation methods in this context. In particular, we obtain concentration rates of the posterior distribution on the parameters, under mild assumptions on the prior distribution and the model. These results also lead to convergence rates of Bayesian estimators. Another object of interest in event-data modelling is to infer the graph of interaction - or Granger causal graph. In this case, we provide consistency guarantees; in particular, we prove that the posterior distribution is consistent on the graph adjacency matrix of the process, as well as a Bayesian estimator based on an adequate loss function.

Topics & Concepts