Causal Discovery in Hawkes Processes by Minimum Description Length
利用最小描述长度发现 Hawkes 过程中的因果网络
Hawkes processes are a special class of temporal point processes which exhibit a natural notion of causality, as occurrence of events in the past may increase the probability of events in the future. Discovery of the underlying influence network among the dimensions of multi-dimensional temporal processes is of high importance in disciplines where a high-frequency data is to model, e.g. in financial data or in seismological data. This paper approaches the problem of learning…