Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays


Kar Wai Lim, Young Lee, Leif Hanlen, Hongbiao Zhao ;
Proceedings of The 8th Asian Conference on Machine Learning, PMLR 63:238-253, 2016.


We propose a simulation method for multidimensional Hawkes processes based on superposition theory of point processes. This formulation allows us to design efficient simulations for Hawkes processes with differing exponentially decaying intensities. We demonstrate that inter-arrival times can be decomposed into simpler auxiliary variables that can be sampled directly, giving exact simulation with no approximation. We establish that the auxiliary variables provides information on the parent process for each event time. The algorithm correctness is shown by verifying the simulated intensities with their theoretical moments. A modular inference procedure consisting of a combination between Gibbs through the adaptive rejection sampling and Metropolis Hastings steps is presented. Finally, we compare our proposed simulation method against existing methods, and find significant improvement in terms of algorithm speed. Our inference algorithm is used to discover the strengths of mutually excitations in real dark networks.

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