Nonparametric Markovian Learning of Triggering Kernels for Mutually Exciting and Mutually Inhibiting Multivariate Hawkes Processes

In this paper, we address the problem of fitting multivariate Hawkes processes to potentially large-scale data in a setting where series of events are not only mutually-exciting but can also exhibit inhibitive patterns. We focus on nonparametric learning and propose a novel algorithm called MEMIP (Markovian Estimation of Mutually Interacting Processes) that makes use of polynomial approximation theory and self-concordant analysis in order to learn both triggering kernels and base intensities of events. Moreover, considering that N historical observations are available, the algorithm performs log-likelihood maximization in $O(N)$ operations, while the complexity of non-Markovian methods is in $O(N^{2})$. Numerical experiments on simulated data, as well as real-world data, show that our method enjoys improved prediction performance when compared to state-of-the art methods like MMEL and exponential kernels

Correlated Cascades: Compete or Cooperate

In real world social networks, there are multiple cascades which are rarely independent. They usually compete or cooperate with each other. Motivated by the reinforcement theory in sociology we leverage the fact that adoption of a user to any behavior is modeled by the aggregation of behaviors of its neighbors. We use a multidimensional marked Hawkes process to model users product adoption and consequently spread of cascades in social networks. The resulting inference problem is proved to be convex and is solved in parallel by using the barrier method. The advantage of the proposed model is twofold; it models correlated cascades and also learns the latent diffusion network. Experimental results on synthetic and two real datasets gathered from Twitter, URL shortening and music streaming services, illustrate the superior performance of the proposed model over the alternatives

Bursting activity spreading through asymmetric interactions

People communicate with those who have the same background or share a common interest by using a social networking service (SNS). News or messages propagate through inhomogeneous connections in an SNS by sharing or facilitating additional comments. Such human activity is known to lead to endogenous bursting in the rate of message occurrences. We analyze a multi-dimensional self-exciting process to reveal dependence of the bursting activity on the topology of connections and the distribution of interaction strength on the connections. We determine the critical conditions for the cases where interaction strength is regulated at either the point of input or output for each person. In the input regulation condition, the network may exhibit bursting with infinitesimal interaction strength, if the dispersion of the degrees diverges as in the scale-free networks. In contrast, in the output regulation condition, the critical value of interaction strength, represented by the average number of events added by a single event, is a constant $1-1/\sqrt{2} \approx 0.3$, independent of the degree dispersion. Thus, the stability in human activity crucially depends on not only the topology of connections but also the manner in which interactions are distributed among the connections.Comment: 8 pages, 8 figure

Modelling sparsity, heterogeneity, reciprocity and community structure in temporal interaction data

We propose a novel class of network models for temporal dyadic interaction data. Our goal is to capture a number of important features often observed in social interactions: sparsity, degree heterogeneity, community structure and reciprocity. We propose a family of models based on self-exciting Hawkes point processes in which events depend on the history of the process. The key component is the conditional intensity function of the Hawkes Process, which captures the fact that interactions may arise as a response to past interactions (reciprocity), or due to shared interests between individuals (community structure). In order to capture the sparsity and degree heterogeneity, the base (non time dependent) part of the intensity function builds on compound random measures following Todeschini et al. (2016). We conduct experiments on a variety of real-world temporal interaction data and show that the proposed model outperforms many competing approaches for link prediction, and leads to interpretable parameters