Learning hawkes processes under synchronization noise

William Trouleau, Jalal Etesami, Matthias Grossglauser, Negar Kiyavash, Patrick Thiran

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

6 Scopus citations

Abstract

Multivariate Hawkes processes (MHP) are widely used in a variety of fields to model the occurrence of discrete events. Prior work on learning MHPs has only focused on inference in the presence of perfect traces without noise. We address the problem of learning the causal structure of MHPs when observations are subject to an unknown delay. In particular, we introduce the so-called synchronization noise, where the stream of events generated by each dimension is subject to a random and unknown time shift. We characterize the robustness of the classic maximum likelihood estimator to synchronization noise, and we introduce a new approach for learning the causal structure in the presence of noise. Our experimental results show that our approach accurately recovers the causal structure of MHPs for a wide range of noise levels, and significantly outperforms classic estimation methods.

Original languageEnglish
Title of host publication36th International Conference on Machine Learning, ICML 2019
PublisherInternational Machine Learning Society (IMLS)
Pages11022-11031
Number of pages10
ISBN (Electronic)9781510886988
StatePublished - 2019
Externally publishedYes
Event36th International Conference on Machine Learning, ICML 2019 - Long Beach, United States
Duration: 9 Jun 201915 Jun 2019

Publication series

Name36th International Conference on Machine Learning, ICML 2019
Volume2019-June

Conference

Conference36th International Conference on Machine Learning, ICML 2019
Country/TerritoryUnited States
CityLong Beach
Period9/06/1915/06/19

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