Hawkes process

Context-sensitive multivariate Hawkes process in JuliaLang v1.2.0

data

• multiple samples
• multiple types of event
• context (temporary state)

decay kernel

• exponential kernel

loss function

• negative log-likelihood

optimization

• ADMM

simulation

• Ogata's thinning algorithm

regularization

• low-rank
  • nuclear norm (TODO)
• sparsity
  • l1 norm (TODO)

demo

• Alpha matrix

• Network