论文标题

Cox-Hawkes:双重随机时空泊松过程

Cox-Hawkes: doubly stochastic spatiotemporal Poisson processes

论文作者

Miscouridou, Xenia, Bhatt, Samir, Mohler, George, Flaxman, Seth, Mishra, Swapnil

论文摘要

霍克斯过程是用于捕获社会互动,神经活动,地震和病毒流行病中自我激​​发行为的点过程模型。他们可以建模事件的时间和位置的发生。在这里,我们开发了一类新的时空鹰队过程,这些过程可以捕获触发和聚类行为,并为执行推理提供了有效的方法。我们使用log-gaussian Cox过程(LGCP)作为Hawkes过程的背景速率的先验,该过程具有任意的灵活性来捕获广泛的潜在背景效应(对于传染病而言,这些称为流行作用)。霍克斯工艺和LGCP在计算上昂贵,因为前者的观测次数具有二次复杂性,而后者涉及对观测值的Precision矩阵的反转。在这里,我们提出了一种新的方法,使用预训练的高斯工艺生成器为LGCP背景进行LGCP背景的MCMC采样,该过程在推断过程中可直接且廉价地访问样品。我们在模拟数据实验中显示了方法在实验中的功效和灵活性,并使用我们的方法来揭示美国报告的犯罪数据集中的趋势。

Hawkes processes are point process models that have been used to capture self-excitatory behavior in social interactions, neural activity, earthquakes and viral epidemics. They can model the occurrence of the times and locations of events. Here we develop a new class of spatiotemporal Hawkes processes that can capture both triggering and clustering behavior and we provide an efficient method for performing inference. We use a log-Gaussian Cox process (LGCP) as prior for the background rate of the Hawkes process which gives arbitrary flexibility to capture a wide range of underlying background effects (for infectious diseases these are called endemic effects). The Hawkes process and LGCP are computationally expensive due to the former having a likelihood with quadratic complexity in the number of observations and the latter involving inversion of the precision matrix which is cubic in observations. Here we propose a novel approach to perform MCMC sampling for our Hawkes process with LGCP background, using pre-trained Gaussian Process generators which provide direct and cheap access to samples during inference. We show the efficacy and flexibility of our approach in experiments on simulated data and use our methods to uncover the trends in a dataset of reported crimes in the US.

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