Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Achab, Massil; Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François (2017), Uncovering Causality from Multivariate Hawkes Integrated Cumulants, Journal of Machine Learning Research, 18, 1, p. 6998-7025
TypeArticle accepté pour publication ou publié
Journal nameJournal of Machine Learning Research
MetadataShow full item record
Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Centre de Mathématiques Appliquées [CMAP]
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Laboratoire de Probabilités et Modèles Aléatoires [LPMA]
Sciences pour l'environnement [SPE]
Abstract (EN)We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each node of the process, but also disentangles the causality relationships between them. Our approach is the first that leads to an estimation of this matrix without any parametric modeling and estimation of the kernels themselves. As a consequence, it can give an estimation of causality relationships between nodes (or users), based on their activity timestamps (on a social network for instance), without knowing or estimating the shape of the activities lifetime. For that purpose, we introduce a moment matching method that fits the second-order and the third-order integrated cumulants of the process. A theoretical analysis allows us to prove that this new estimation technique is consistent. Moreover, we show, on numerical experiments, that our approach is indeed very robust with respect to the shape of the kernels and gives appealing results on the MemeTracker database and on financial order book data.
Subjects / KeywordsHawkes Process; Causality Inference; Cumulants; Generalized Method of Moments
Showing items related by title and author.
Muzy, Jean-François; Delattre, Sylvain; Hoffmann, Marc; Bacry, Emmanuel (2013) Article accepté pour publication ou publié