Efficient EM-variational inference for nonparametric Hawkes process

The classic Hawkes process assumes the baseline intensity to be constant and the triggering kernel to be a parametric function. Differently, we present a generalization of the parametric Hawkes process by using a Bayesian nonparametric model called quadratic Gaussian Hawkes process . We model the ba...

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Veröffentlicht in:	Statistics and computing 2021-07, Vol.31 (4), Article 46
Hauptverfasser:	Zhou, Feng, Luo, Simon, Li, Zhidong, Fan, Xuhui, Wang, Yang, Sowmya, Arcot, Chen, Fang
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Approximation Artificial Intelligence Gaussian process Inference Kernels Mathematical analysis Mathematics and Statistics Nonparametric statistics Probability and Statistics in Computer Science Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs
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