论文标题

高维点过程网络的统计推断

Statistical Inference for Networks of High-Dimensional Point Processes

论文作者

Wang, Xu, Kolar, Mladen, Shojaie, Ali

论文摘要

多元霍克斯过程的一部分是由最近在神经科学中应用的,已成为模拟高维点过程数据之间相互作用网络的流行工具。在评估网络估计的不确定性对科学应用中至关重要的同时,现有的方法论和理论工作主要解决了估计。为了弥合这一差距,本文为高维霍克斯过程开发了一种新的统计推理程序。该推理过程的关键要素是对综合随机过程的一阶统计和二阶统计的新浓度不平等,该过程总结了整个过程的历史。结合了关于Martingale中心极限理论的最新结果与新的浓度不平等,我们将表征测试统计的收敛速率。我们通过广泛的模拟说明了推论工具的有限样本有效性,并通过将其应用于神经元尖峰火车数据集来证明它们的实用性。

Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the network estimates is critical in scientific applications, existing methodological and theoretical work has primarily addressed estimation. To bridge this gap, this paper develops a new statistical inference procedure for high-dimensional Hawkes processes. The key ingredient for this inference procedure is a new concentration inequality on the first- and second-order statistics for integrated stochastic processes, which summarize the entire history of the process. Combining recent results on martingale central limit theory with the new concentration inequality, we then characterize the convergence rate of the test statistics. We illustrate finite sample validity of our inferential tools via extensive simulations and demonstrate their utility by applying them to a neuron spike train data set.

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