Point processes with event time uncertainty
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866908755934838784 |
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| author | Cheng, Xiuyuan Gong, Tingnan Xie, Yao |
| author_facet | Cheng, Xiuyuan Gong, Tingnan Xie, Yao |
| contents | Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In many applications, however, event times are not observed exactly, motivating the need to incorporate time uncertainty into point process modeling. In this work, we introduce a framework for modeling time-uncertain self-exciting point processes, known as Hawkes processes, possibly defined over a network. We begin by formulating the model in continuous time under assumptions motivated by real-world scenarios. By imposing a time grid, we obtain a discrete-time model that facilitates inference and enables computation via first-order optimization methods such as gradient descent and variational inequality (VI). We establish a parameter recovery guarantee for VI inference with an $O(1/k)$ convergence rate using $k$ steps. Our framework accommodates non-stationary processes by representing the influence kernel as a matrix (or tensor on a network), while also encompassing stationary processes, such as the classical Hawkes process, as a special case. Empirically, we demonstrate that the proposed approach outperforms existing baselines on both simulated and real-world datasets, including the sepsis-associated derangement prediction challenge and the Atlanta Police Crime Dataset. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2411_02694 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Point processes with event time uncertainty Cheng, Xiuyuan Gong, Tingnan Xie, Yao Machine Learning Statistics Theory Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In many applications, however, event times are not observed exactly, motivating the need to incorporate time uncertainty into point process modeling. In this work, we introduce a framework for modeling time-uncertain self-exciting point processes, known as Hawkes processes, possibly defined over a network. We begin by formulating the model in continuous time under assumptions motivated by real-world scenarios. By imposing a time grid, we obtain a discrete-time model that facilitates inference and enables computation via first-order optimization methods such as gradient descent and variational inequality (VI). We establish a parameter recovery guarantee for VI inference with an $O(1/k)$ convergence rate using $k$ steps. Our framework accommodates non-stationary processes by representing the influence kernel as a matrix (or tensor on a network), while also encompassing stationary processes, such as the classical Hawkes process, as a special case. Empirically, we demonstrate that the proposed approach outperforms existing baselines on both simulated and real-world datasets, including the sepsis-associated derangement prediction challenge and the Atlanta Police Crime Dataset. |
| title | Point processes with event time uncertainty |
| topic | Machine Learning Statistics Theory |
| url | https://arxiv.org/abs/2411.02694 |