Granger Causal Inference in Multivariate Hawkes Processes by Minimum Message Length

arXiv:2309.02027v2 Announce Type: replace
Abstract: Multivariate Hawkes processes (MHPs) are versatile probabilistic tools used to model various real-life phenomena: earthquakes, operations on stock markets, neuronal activity, virus propagation and many others. In this paper, we focus on MHPs with exponential decay kernels and estimate connectivity graphs, which represent the Granger causal relations between their components. We approach this inference problem by proposing an optimization criterion and model selection algorithm based on the minimum message length (MML) principle. MML compares Granger …

abstract arxiv causal causal inference connectivity cs.lg earthquakes focus graphs inference life markets multivariate operations paper processes propagation stock stock markets tools type virus