Context-dependent self-exciting point processes: models, methods, and risk bounds in high dimensions

• URL: http://arxiv.org/abs/2003.07429v1
• Date: Mon, 16 Mar 2020 20:22:43 GMT
• Title: Context-dependent self-exciting point processes: models, methods, and risk bounds in high dimensions
• Authors: Lili Zheng, Garvesh Raskutti, Rebecca Willett, Benjamin Mark
• Abstract summary: High-dimensional autoregressive point processes model how current events trigger or inhibit future events, such as activity by one member of a social network can affect the future activity of his or her neighbors. We leverage ideas from compositional time series and regularization methods in machine learning to conduct network estimation for high-dimensional marked point processes.
• Score: 21.760636228118607
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: High-dimensional autoregressive point processes model how current events trigger or inhibit future events, such as activity by one member of a social network can affect the future activity of his or her neighbors. While past work has focused on estimating the underlying network structure based solely on the times at which events occur on each node of the network, this paper examines the more nuanced problem of estimating context-dependent networks that reflect how features associated with an event (such as the content of a social media post) modulate the strength of influences among nodes. Specifically, we leverage ideas from compositional time series and regularization methods in machine learning to conduct network estimation for high-dimensional marked point processes. Two models and corresponding estimators are considered in detail: an autoregressive multinomial model suited to categorical marks and a logistic-normal model suited to marks with mixed membership in different categories. Importantly, the logistic-normal model leads to a convex negative log-likelihood objective and captures dependence across categories. We provide theoretical guarantees for both estimators, which we validate by simulations and a synthetic data-generating model. We further validate our methods through two real data examples and demonstrate the advantages and disadvantages of both approaches.

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