Estimation and application of Bayesian Hawkes process models

In this thesis, we examine various facets of Bayesian approaches to Hawkes Processes. Hawkes Processes are a flexible class of point processes that are used to model events that occur in clusters or bursts, as classic Hawkes processes capture the self-exciting behaviour where one event makes future events more likely. While they are popular in the earthquake literature, they are also successfully used in other applications, such as crime, email or Twitter messaging patterns, or tradings on the stock market. A variety of estimation procedures, both in the frequentist and Bayesian domains, exist to estimate the parameters of the Hawkes process. The goal of this thesis is to enable and improve parameter estimation for different scenarios, such as missing data and inhibition. We use these findings to apply Hawkes processes to product sales analysis, specifically to identify product cannibalisation, and to model data from a group chat setting. We address issues in parameter estimation in the excitation-only case when data from a Hawkes process is missing. This can severely bias the learning of the Hawkes process parameters. As such, we develop a novel estimation approach based on Approximate Bayesian Computation. We then consider an extension of the Hawkes process which incorporates inhibition, where events can decrease the intensity function. This leads to additional complexities in the estimation procedure. We resolve challenges regarding the integration of the intensity function and introduce a new, less restrictive condition for stability as existing conditions are unnecessarily strict under inhibition. Based on these findings, we use the multivariate Hawkes process to model product sales. In particular, we are interested in product cannibalisation, which refers to the decrease in the sales of one product due to competition from another product. We examine this phenomenon in a wholesale data set provided by an international company using a multivariate Hawkes process with inhibition. For this, we design a dimension-independent prior for inhibition based on a reparametrisation. Finally, we propose an extension to the classic multivariate Hawkes model, which permits different influences for immigrant and triggered events subject to the latent branching structure. We showcase this extended model on data from a group chat

The Fifteenth Marcel Grossmann Meeting

The three volumes of the proceedings of MG15 give a broad view of all aspects of gravitational physics and astrophysics, from mathematical issues to recent observations and experiments. The scientific program of the meeting included 40 morning plenary talks over 6 days, 5 evening popular talks and nearly 100 parallel sessions on 71 topics spread over 4 afternoons. These proceedings are a representative sample of the very many oral and poster presentations made at the meeting.Part A contains plenary and review articles and the contributions from some parallel sessions, while Parts B and C consist of those from the remaining parallel sessions. The contents range from the mathematical foundations of classical and quantum gravitational theories including recent developments in string theory, to precision tests of general relativity including progress towards the detection of gravitational waves, and from supernova cosmology to relativistic astrophysics, including topics such as gamma ray bursts, black hole physics both in our galaxy and in active galactic nuclei in other galaxies, and neutron star, pulsar and white dwarf astrophysics. Parallel sessions touch on dark matter, neutrinos, X-ray sources, astrophysical black holes, neutron stars, white dwarfs, binary systems, radiative transfer, accretion disks, quasars, gamma ray bursts, supernovas, alternative gravitational theories, perturbations of collapsed objects, analog models, black hole thermodynamics, numerical relativity, gravitational lensing, large scale structure, observational cosmology, early universe models and cosmic microwave background anisotropies, inhomogeneous cosmology, inflation, global structure, singularities, chaos, Einstein-Maxwell systems, wormholes, exact solutions of Einstein's equations, gravitational waves, gravitational wave detectors and data analysis, precision gravitational measurements, quantum gravity and loop quantum gravity, quantum cosmology, strings and branes, self-gravitating systems, gamma ray astronomy, cosmic rays and the history of general relativity

The Fifteenth Marcel Grossmann Meeting

The three volumes of the proceedings of MG15 give a broad view of all aspects of gravitational physics and astrophysics, from mathematical issues to recent observations and experiments. The scientific program of the meeting included 40 morning plenary talks over 6 days, 5 evening popular talks and nearly 100 parallel sessions on 71 topics spread over 4 afternoons. These proceedings are a representative sample of the very many oral and poster presentations made at the meeting.Part A contains plenary and review articles and the contributions from some parallel sessions, while Parts B and C consist of those from the remaining parallel sessions. The contents range from the mathematical foundations of classical and quantum gravitational theories including recent developments in string theory, to precision tests of general relativity including progress towards the detection of gravitational waves, and from supernova cosmology to relativistic astrophysics, including topics such as gamma ray bursts, black hole physics both in our galaxy and in active galactic nuclei in other galaxies, and neutron star, pulsar and white dwarf astrophysics. Parallel sessions touch on dark matter, neutrinos, X-ray sources, astrophysical black holes, neutron stars, white dwarfs, binary systems, radiative transfer, accretion disks, quasars, gamma ray bursts, supernovas, alternative gravitational theories, perturbations of collapsed objects, analog models, black hole thermodynamics, numerical relativity, gravitational lensing, large scale structure, observational cosmology, early universe models and cosmic microwave background anisotropies, inhomogeneous cosmology, inflation, global structure, singularities, chaos, Einstein-Maxwell systems, wormholes, exact solutions of Einstein's equations, gravitational waves, gravitational wave detectors and data analysis, precision gravitational measurements, quantum gravity and loop quantum gravity, quantum cosmology, strings and branes, self-gravitating systems, gamma ray astronomy, cosmic rays and the history of general relativity

REVIEW OF PARTICLE PHYSICS

The Review summarizes much of particle physics and cosmology. Using data from previous editions, plus 3,324 new measurements from 878 papers, we list, evaluate, and average measured properties of gauge bosons and the recently discovered Higgs boson, leptons, quarks, mesons, and baryons. We summarize searches for hypothetical particles such as supersymmetric particles, heavy bosons, axions, dark photons, etc. Particle properties and search limits are listed in Summary Tables. We give numerous tables, figures, formulae, and reviews of topics such as Higgs Boson Physics, Supersymmetry, Grand Unified Theories, Neutrino Mixing, Dark Energy, Dark Matter, Cosmology, Particle Detectors, Colliders, Probability and Statistics. Among the 120 reviews are many that are new or heavily revised, including a new review on High Energy Soft QCD and Diffraction and one on the Determination of CKM Angles from B Hadrons. The Review is divided into two volumes. Volume 1 includes the Summary Tables and 98 review articles. Volume 2 consists of the Particle Listings and contains also 22 reviews that address specific aspects of the data presented in the Listings. The complete Review (both volumes) is published online on the website of the Particle Data Group (pdg.lbl.gov) and in a journal. Volume 1 is available in print as the PDG Book. A Particle Physics Booklet with the Summary Tables and essential tables, figures, and equations from selected review articles is available in print and as a web version optimized for use on phones as well as an Android app.Peer reviewe