Uncovering Causality from Multivariate Hawkes Integrated Cumulants

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Massil Achab, Emmanuel Bacry, Stéphane Gaı̈ffas, Iacopo Mastromatteo, Jean-François Muzy ;
Proceedings of the 34th International Conference on Machine Learning, PMLR 70:1-10, 2017.

Abstract

We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each node of the process, but also disentangles the causality relationships between them. Our approach is the first that leads to an estimation of this matrix without any parametric modeling and estimation of the kernels themselves. A consequence is that it can give an estimation of causality relationships between nodes (or users), based on their activity timestamps (on a social network for instance), without knowing or estimating the shape of the activities lifetime. For that purpose, we introduce a moment matching method that fits the second-order and the third-order integrated cumulants of the process. A theoretical analysis allows to prove that this new estimation technique is consistent. Moreover, we show on numerical experiments that our approach is indeed very robust to the shape of the kernels, and gives appealing results on the MemeTracker database and on financial order book data.

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