Scalable Marked Point Processes for Exchangeable and Non-Exchangeable Event Sequences

被引:0
作者
Panos, Aristeidis [1 ]
Kosmidis, Ioannis [2 ,3 ]
Dellaportas, Petros [3 ,4 ,5 ]
机构
[1] Univ Cambridge, Cambridge, England
[2] Univ Warwick, Warwick, England
[3] Alan Turing Inst, London, England
[4] UCL, London, England
[5] Athens Univ Econ & Business, Athens, Greece
来源
INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND STATISTICS, VOL 206 | 2023年 / 206卷
基金
比尔及梅琳达.盖茨基金会;
关键词
HAWKES PROCESSES; PROCESS MODELS;
D O I
暂无
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
We adopt the interpretability offered by a parametric, Hawkes-process-inspired conditional probability mass function for the marks and apply variational inference techniques to derive a general and scalable inferential framework for marked point processes. The framework can handle both exchangeable and non-exchangeable event sequences with minimal tuning and without any pre-training. This contrasts with many parametric and non-parametric state-of-the-art methods that typically require pre-training and/or careful tuning, and can only handle exchangeable event sequences. The framework's competitive computational and predictive performance against other state-of-the-art methods are illustrated through real data experiments. Its attractiveness for large-scale applications is demonstrated through a case study involving all events occurring in an English Premier League season.
引用
收藏
页码:236 / 252
页数:17
相关论文
共 73 条
  • [1] [Anonymous], ADV NEURAL INF PROCE
  • [2] Market Impacts and the Life Cycle of Investors Orders
    Bacry, Emmanuel
    Iuga, Adrian
    Lasnier, Matthieu
    Lehalle, Charles-Albert
    [J]. MARKET MICROSTRUCTURE AND LIQUIDITY, 2015, 1 (02)
  • [3] Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
    Bacry, Emmanuel
    Jaisson, Thibault
    Muzy, Jean-Francois
    [J]. QUANTITATIVE FINANCE, 2016, 16 (08) : 1179 - 1201
  • [4] First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
    Bacry, Emmanuel
    Muzy, Jean-Francois
    [J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 2016, 62 (04) : 2184 - 2202
  • [5] Bhattacharjya D, 2018, ADV NEUR IN, V31
  • [6] Variational Inference: A Review for Statisticians
    Blei, David M.
    Kucukelbir, Alp
    McAuliffe, Jon D.
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2017, 112 (518) : 859 - 877
  • [7] Latent Dirichlet allocation
    Blei, DM
    Ng, AY
    Jordan, MI
    [J]. JOURNAL OF MACHINE LEARNING RESEARCH, 2003, 3 (4-5) : 993 - 1022
  • [8] Maximum likelihood estimation for Hawkes processes with self-excitation or inhibition
    Bonnet, Anna
    Herrera, Miguel Martinez
    Sangnier, Maxime
    [J]. STATISTICS & PROBABILITY LETTERS, 2021, 179
  • [9] Modelling security market events in continuous time: Intensity based, multivariate point process models
    Bowsher, Clive G.
    [J]. JOURNAL OF ECONOMETRICS, 2007, 141 (02) : 876 - 912
  • [10] Chen S., 2017, ARXIV