论文标题
条件均匀性和霍克斯工艺
Conditional Uniformity and Hawkes Processes
论文作者
论文摘要
经典结果表明,霍克斯自我激发点过程可以看作是时间簇的集合,在这些群集中,外源产生的初始事件会导致内源性驱动的后代事件。该视角通过与分支过程的自然连接提供了集群大小的分布,但这与时间无关。洞悉霍克斯过程集群的年代学已经更加难以捉摸。在这里,我们采用了这种群集的观点,并且对随机时间的新颖适应性改变了定理,以建立泊松过程所享有的条件均匀性属性的类似物。在集群中的时期数量上,我们表明转化的时间在特定的凸层中是统一的。此外,我们发现这种多层人会导致这些连续的状态群集和停车功能之间的令人惊讶的联系,枚举组合中的离散对象的中心对象,并且与晶格上的戴克路径密切相关。特别是,我们表明,统一的随机停车功能构成了霍克斯工艺群中的隐藏刺。这产生了一种分解,在方法论和实践上都具有价值,我们通过应用于流行的马尔可夫鹰队模型以及通过提出灵活有效的仿真算法来证明这一点。
Classic results show that the Hawkes self-exciting point process can be viewed as a collection of temporal clusters, where exogenously generated initial events give rise to endogenously driven descendant events. This perspective provides the distribution of a cluster's size through a natural connection to branching processes, but this is irrespective of time. Insight into the chronology of a Hawkes process cluster has been much more elusive. Here, we employ this cluster perspective and a novel adaptation of the random time change theorem to establish an analog of the conditional uniformity property enjoyed by Poisson processes. Conditional on the number of epochs in a cluster, we show that the transformed times are jointly uniform within a particular convex polytope. Furthermore, we find that this polytope leads to a surprising connection between these continuous state clusters and parking functions, discrete objects central in enumerative combinatorics and closely related to Dyck paths on the lattice. In particular, we show that uniformly random parking functions constitute hidden spines within Hawkes process clusters. This yields a decomposition that is valuable both methodologically and practically, which we demonstrate through application to the popular Markovian Hawkes model and through proposal of a flexible and efficient simulation algorithm.