Nonparametric Hawkes Processes: Online Estimation and Generalization Bounds

TL;DR

This paper introduces a novel nonparametric online algorithm for estimating multivariate Hawkes processes, overcoming computational challenges and achieving competitive accuracy with efficient runtime.

Contribution

It presents NPOLE-MHP, an online estimation algorithm for Hawkes processes that attains low regret and stability, with solutions to key nonparametric estimation challenges.

Findings

NPOLE-MHP achieves $ ext{O}(1/T)$ regret and stability.

Performs comparably to MLE in synthetic and real data.

Runs faster than traditional nonparametric methods.

Abstract

In this paper, we design a nonparametric online algorithm for estimating the triggering functions of multivariate Hawkes processes. Unlike parametric estimation, where evolutionary dynamics can be exploited for fast computation of the gradient, and unlike typical function learning, where representer theorem is readily applicable upon proper regularization of the objective function, nonparametric estimation faces the challenges of (i) inefficient evaluation of the gradient, (ii) lack of representer theorem, and (iii) computationally expensive projection necessary to guarantee positivity of the triggering functions. In this paper, we offer solutions to the above challenges, and design an online estimation algorithm named NPOLE-MHP that outputs estimations with a $\mathcal{O}(1/T)$ regret, and a $\mathcal{O}(1/T)$ stability. Furthermore, we design an algorithm, NPOLE-MMHP, for estimation of multivariate marked Hawkes processes. We test the performance of NPOLE-MHP on various synthetic and real datasets, and demonstrate, under different evaluation metrics, that NPOLE-MHP performs as good as the optimal maximum likelihood estimation (MLE), while having a run time as little as parametric online algorithms.