Nearly assumptionless screening for the mutually-exciting multivariate Hawkes process

作者：Chen Shizhe^*; Witten Daniela; Shojaie Ali

来源：Electronic Journal of Statistics, 2017, 11(1): 1207-1234.

DOI：10.1214/17-EJS1251

• Hawkes process
• screening
• high-dimensionality

We consider the task of learning the structure of the graph underlying a mutually-exciting multivariate Hawkes process in the high-dimensional setting. We propose a simple and computationally inexpensive edge screening approach. Under a subset of the assumptions required for penalized estimation approaches to recover the graph, this edge screening approach has the sure screening property: with high probability, the screened edge set is a superset of the true edge set. Furthermore, the screened edge set is relatively small. We illustrate the performance of this new edge screening approach in simulation studies.

• 出版日期2017