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  4. Learning Hawkes Processes Under Synchronization Noise
 
conference paper

Learning Hawkes Processes Under Synchronization Noise

Trouleau, William  
•
Etesami, Jalal
•
Grossglauser, Matthias  
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Chaudhuri, Kamalika
•
Salakhutdinov, Ruslan
June 9, 2019
Proceedings of the 36th International Conference on Machine Learning
36th International Conference on Machine Learning

Multivariate Hawkes processes (MHP) are widely used in a variety of fields to model the occurrence of discrete events. Prior work on learning MHPs has only focused on inference in the presence of perfect traces without noise. We address the problem of learning the causal structure of MHPs when observations are subject to an unknown delay. In particular, we introduce the so-called synchronization noise, where the stream of events generated by each dimension is subject to a random and unknown time shift. We characterize the robustness of the classic maximum likelihood estimator to synchronization noise, and we introduce a new approach for learning the causal structure in the presence of noise. Our experimental results show that our approach accurately recovers the causal structure of MHPs for a wide range of noise levels, and significantly outperforms classic estimation methods.

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Type
conference paper
Author(s)
Trouleau, William  
Etesami, Jalal
Grossglauser, Matthias  
Kiyavash, Negar
Thiran, Patrick  
Editors
Chaudhuri, Kamalika
•
Salakhutdinov, Ruslan
Date Issued

2019-06-09

Publisher

PMLR

Published in
Proceedings of the 36th International Conference on Machine Learning
Total of pages

10

Series title/Series vol.

Proceedings of Machine Learning Research

Volume

97

Start page

6325

Subjects

Hawkes Processes

•

Synchronization noise

•

epidemics

•

graph

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
INDY1  
INDY2  
BAN  
Event nameEvent placeEvent date
36th International Conference on Machine Learning

Long Beach, California, USA

June 9-15, 2019

Available on Infoscience
November 4, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/162641
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