A Multivariate Hawkes Process With Gaps in Observations

• Published in: IEEE transactions on information theory 2018-03, Vol.64 (3), p.1800-1811
• Main Author: Le, Triet M.
• Format: Article
• Language: English
• Subjects: Boundary conditions; Computer simulation; Economic conditions; Foreign exchange markets; Robustness (mathematics)
• ISSN: 0018-9448; 1557-9654
• DOI: 10.1109/TIT.2017.2735963

Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we study causal relationships (excitations) that are realized by a multivariate Hawkes process (MHP). The MHP and its variations (spatio-temporal point processes) have been used to study contagion in earthquakes, crimes, neural spiking activities, the stock and foreign exchange markets, and so on. In this paper, we consider the MHP with gaps (MHPG) in observations. We propose a variational problem for detecting sparsely hidden relationships with an MHP that takes into account the gaps from each entity. We bypass the problem of dealing with a large amount of missing events by introducing a small number of unknown boundary conditions. In the case where our observations are sparse (e.g., from 10% to 30%), we show through numerical simulations that robust recovery with MHPG is still possible even if the lengths of the observed intervals are small but they are chosen accordingly. The numerical results also show that the knowledge of gaps and imposing the right boundary conditions are very crucial in discovering the underlying patterns and hidden relationships.