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Workshop: Time Series Workshop

Morning Poster Session: Flexible Temporal Point Processes Modeling with Nonlinear Hawkes Processes with Gaussian Processes Excitations and Inhibitions

Noa Malem-Shinitski


We propose an extended Hawkes process model where the self--effects are of both excitatory and inhibitory type and follow a Gaussian Process. Whereas previous work either relies on a less flexible parameterization of the model, or requires a large amount of data, our formulation allows for both a flexible model and learning when data are scarce. Efficient approximate Bayesian inference is achieved via data augmentation, and we describe a mean--field variational inference approach to learn the model parameters. To demonstrate the flexibility of the model we apply our methodology on data from two different domains and compare it to previously reported results.