论文标题
点过程激发的度量空间
A Metric Space for Point Process Excitations
论文作者
论文摘要
多元鹰队过程通过触发矩阵来实现自我和跨口气,该矩阵的表现像不对称的协方差结构,表征事件类型之间的成对相互作用。在经验环境中,对所有相互作用的全等级估计通常是不可行的。专门从事时空应用的模型通过利用空间位置来减轻这一障碍,从而使事件之间的二元关系仅取决于实际欧几里得空间中的时间和相对距离。在这里,我们将此框架推广到任何多元鹰队过程,并将其作为将任意事件类型嵌入隐藏度量空间中的船只。具体而言,我们提出了一个隐藏的鹰队几何形状(HHG)模型,以在多元点过程中发现事件激发之间的隐藏几何形状。嵌入的低维度将推断相互作用的结构规范化。我们开发了许多估计器,并通过进行多个实验来验证模型。特别是,我们在韩国早期记录中调查了Covid-19的区域感染动态,而最近的洛杉矶证实了案件。通过在简短记录上进行综合实验以及对期权市场和埃博拉病毒流行的探索,我们证明,学习嵌入方式与点过程一起学习在广泛的应用中发现了显着的相互作用。
A multivariate Hawkes process enables self- and cross-excitations through a triggering matrix that behaves like an asymmetrical covariance structure, characterizing pairwise interactions between the event types. Full-rank estimation of all interactions is often infeasible in empirical settings. Models that specialize on a spatiotemporal application alleviate this obstacle by exploiting spatial locality, allowing the dyadic relationships between events to depend only on separation in time and relative distances in real Euclidean space. Here we generalize this framework to any multivariate Hawkes process, and harness it as a vessel for embedding arbitrary event types in a hidden metric space. Specifically, we propose a Hidden Hawkes Geometry (HHG) model to uncover the hidden geometry between event excitations in a multivariate point process. The low dimensionality of the embedding regularizes the structure of the inferred interactions. We develop a number of estimators and validate the model by conducting several experiments. In particular, we investigate regional infectivity dynamics of COVID-19 in an early South Korean record and recent Los Angeles confirmed cases. By additionally performing synthetic experiments on short records as well as explorations into options markets and the Ebola epidemic, we demonstrate that learning the embedding alongside a point process uncovers salient interactions in a broad range of applications.