Spectra of some self-exciting and mutually exciting point processes

Similar documents
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at

Locally stationary Hawkes processes

Temporal point processes: the conditional intensity function

RENEWAL PROCESSES AND POISSON PROCESSES

Likelihood Function for Multivariate Hawkes Processes

Point processes, temporal

Simulation and Calibration of a Fully Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays

ELEMENTS OF PROBABILITY THEORY

[313 ] A USE OF COMPLEX PROBABILITIES IN THE THEORY OF STOCHASTIC PROCESSES

Pruscha: Semiparametric Estimation in Regression Models for Point Processes based on One Realization

Probability and Stochastic Processes

Testing the homogeneity of variances in a two-way classification

Multivariate Hawkes Processes and Their Simulations

arxiv: v1 [q-fin.rm] 27 Jun 2017

COPYRIGHTED MATERIAL CONTENTS. Preface Preface to the First Edition

A Dynamic Contagion Process with Applications to Finance & Insurance

WEIBULL RENEWAL PROCESSES

On prediction and density estimation Peter McCullagh University of Chicago December 2004

Dissertation Defense

T h e C S E T I P r o j e c t

Statistical Properties of Marsan-Lengliné Estimates of Triggering Functions for Space-time Marked Point Processes

MOMENT SEQUENCES AND BACKWARD EXTENSIONS OF SUBNORMAL WEIGHTED SHIFTS

Lecture 15. Theory of random processes Part III: Poisson random processes. Harrison H. Barrett University of Arizona

Limit theorems for Hawkes processes

ON THE HARMONIC SUMMABILITY OF DOUBLE FOURIER SERIES P. L. SHARMA

THE INTERCHANGEABILITY OF./M/1 QUEUES IN SERIES. 1. Introduction

Ordinary Differential Equations. Session 7

Conditional confidence interval procedures for the location and scale parameters of the Cauchy and logistic distributions

Name of the Student: Problems on Discrete & Continuous R.Vs

SIMILAR MARKOV CHAINS

6. Bernoulli Trials and the Poisson Process

Asymptotic inference for a nonstationary double ar(1) model

BRANCHING PROCESSES AND THEIR APPLICATIONS: Lecture 15: Crump-Mode-Jagers processes and queueing systems with processor sharing

Housing Market Monitor

CCNY. BME I5100: Biomedical Signal Processing. Stochastic Processes. Lucas C. Parra Biomedical Engineering Department City College of New York

Statistical and Adaptive Signal Processing

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at

RESEARCH REPORT. Estimation of sample spacing in stochastic processes. Anders Rønn-Nielsen, Jon Sporring and Eva B.

PROBABILISTIC METHODS FOR A LINEAR REACTION-HYPERBOLIC SYSTEM WITH CONSTANT COEFFICIENTS

SUMMABILITY OF ALTERNATING GAP SERIES

Properties of the Autocorrelation Function

Q = (c) Assuming that Ricoh has been working continuously for 7 days, what is the probability that it will remain working at least 8 more days?

MATHEMATICS 217 NOTES

The Poisson Correlation Function

Math 307 Lecture 19. Laplace Transforms of Discontinuous Functions. W.R. Casper. Department of Mathematics University of Washington.

1 Delayed Renewal Processes: Exploiting Laplace Transforms

Numerische MathemalJk

37. f(t) sin 2t cos 2t 38. f(t) cos 2 t. 39. f(t) sin(4t 5) 40.

STAT331 Lebesgue-Stieltjes Integrals, Martingales, Counting Processes

Reliability Theory of Dynamically Loaded Structures (cont.)

Reading: Karlin and Taylor Ch. 5 Resnick Ch. 3. A renewal process is a generalization of the Poisson point process.

The Residual Spectrum and the Continuous Spectrum of Upper Triangular Operator Matrices

A General Distribution Approximation Method for Mobile Network Traffic Modeling

Is the superposition of many random spike trains a Poisson process?

Ht) = - {/(* + t)-f(x-t)}, e(t) = - I^-á«.

IEOR 6711: Stochastic Models I, Fall 2003, Professor Whitt. Solutions to Final Exam: Thursday, December 18.

Stochastic Structural Dynamics Prof. Dr. C. S. Manohar Department of Civil Engineering Indian Institute of Science, Bangalore

Gaussian, Markov and stationary processes

Summary statistics for inhomogeneous spatio-temporal marked point patterns

. Find E(V ) and var(v ).

Reduced rank regression in cointegrated models

Taylor Series and Asymptotic Expansions

Poisson Processes for Neuroscientists

Stein s Method and Characteristic Functions

A NON-PARAMETRIC TEST FOR NON-INDEPENDENT NOISES AGAINST A BILINEAR DEPENDENCE

Applied Calculus I. Lecture 29

Higher Tier - Algebra revision

Some of the different forms of a signal, obtained by transformations, are shown in the figure. jwt e z. jwt z e

Applied Probability and Stochastic Processes

AN ARCSINE LAW FOR MARKOV CHAINS

Asymptotics of Integrals of. Hermite Polynomials

Reinforcement Learning

Name of the Student: Problems on Discrete & Continuous R.Vs

Stochastic Processes. A stochastic process is a function of two variables:

Time Series 3. Robert Almgren. Sept. 28, 2009

An Introduction to Stochastic Modeling

Correction to 'Equivariant spectral decomposition for flows with a /-action'

MATH : Calculus II (42809) SYLLABUS, Spring 2010 MW 4-5:50PM, JB- 138

THE POISSON TRANSFORM^)

THREE DIMENSIONAL SIMILARITY SOLUTIONS OF THE NONLINEAR DIFFUSION EQUATION FROM OPTIMIZATION AND FIRST INTEGRALS

E[X n ]= dn dt n M X(t). ). What is the mgf? Solution. Found this the other day in the Kernel matching exercise: 1 M X (t) =

5.4 Bessel s Equation. Bessel Functions

Software Process Models there are many process model s in th e li t e ra t u re, s om e a r e prescriptions and some are descriptions you need to mode

ASYMPTOTIC DISTRIBUTION OF THE MAXIMUM CUMULATIVE SUM OF INDEPENDENT RANDOM VARIABLES

PHASE CHARACTERISTICS OF SOURCE TIME FUNCTION MODELED BY STOCHASTIC IMPULSE TRAIN

Time Series: Theory and Methods

Exhibit 2-9/30/15 Invoice Filing Page 1841 of Page 3660 Docket No

Statistics 253/317 Introduction to Probability Models. Winter Midterm Exam Monday, Feb 10, 2014

Stochastic Processes

EXPANSION OF ANALYTIC FUNCTIONS IN TERMS INVOLVING LUCAS NUMBERS OR SIMILAR NUMBER SEQUENCES

System Identification, Lecture 4

Stationary Graph Processes: Nonparametric Spectral Estimation

Putzer s Algorithm. Norman Lebovitz. September 8, 2016

Learning with Temporal Point Processes

Problems 5: Continuous Markov process and the diffusion equation

A GENERAL THEOREM ON THE TRANSITION PROBABILITIES OF'A QUANTUM MECHANICAL SYSTEM WITH SPATIAL DEGENERACY

ON THE DENSITY OF SOME SEQUENCES OF INTEGERS P. ERDOS

1. Fundamental concepts

Parameter addition to a family of multivariate exponential and weibull distribution

Quasi-stationary distributions

Transcription:

Biometrika (1971), 58, 1, p. 83 83 Printed in Great Britain Spectra of some self-exciting and mutually exciting point processes BY ALAN G. HAWKES University of Durham SUMMAKY In recent years methods of data analysis for point processes have received some attention, for example, by Cox & Lewis (1966) and Lewis (1964). In particular Bartlett (1963a, b) has introduced methods of analysis based on the point spectrum. Theoretical models are relatively sparse. In this paper the theoretical properties of a class of processes with particular reference to the point spectrum or corresponding covariance density functions are discussed. A particular result is a self-exciting process with the same second-order properties as a certain doubly stochastic process. These are not distinguishable by methods of data analysis based on these properties. 1. INTRODUCTION Bartlett (1963a, b) considers a stationary point process N(t), representing the cumulative number of events up to time t, for which is constant and the covariance density A = E{dN(t)}ldt /I(T) = E{dN(t + T) dn(t)}j{dtf -A 2 (1) does not depend on t. For r < 0, /I{-T) = /I(T), but, for T = 0, E[{dN(t)} 2 ] = E{dN{t)} if events cannot occur multiply, so that the complete covariance density becomes I^\T) = \8{T)+[I{T), (2) where S(T) is the Dirac delta function and /A(T) is continuous at the origin. The complete spectral density function for N(t) is defined by = h Jl, e ~^<c) ( T ) dt = ) h {JL { A+ JL e "> (T) dr ) In particular for the Poisson process /I(T) = 0 and/(w) = A/(27r). This may easily be extended to the simultaneous study of a number of point processes N r (t) (r = 1,..., k) with covariance densities fi rs (r) = E{dN r (t + r) dn s (t)}l(dt) 2 -KK (4) where A, = E{dN r {t)}{dt. Now /i n ( T) = /i sr (r) and delta functions occur at the origin when r = s. Then the complete covariance density matrix is, (5)

84 ALAN G. HAWKES and the spectral density matrix F(co) = ± jdiag (A) + J"^ ^) drj (6) is Hermitian. 2. A SELF-EXCITING POINT PROCESS We consider a point process N(t) such that px{an(t) = l\n(s)(s < t)} = A(<) At + o(at), Vv{AN(t) > l\n(s)(s < t)} = o(at). In the doubly stochastic process (Bartlett, 19636), A(t) is assumed to be a stationary random process and the conditioning event is written as {N(s) (s ^t): A(s) ( oo < s < oo)}, so that we could think of A(t) being determined for all t before the N(t) process is considered. Here in contrast we shall assume that the process is self-exciting in the sense that A(t) may be written = v+l g{t-u)dn(u), J -00 which together with (7) defines the process. In effect one may think of this as a self-exciting shot process in which the current intensity of events is determined by events in the past. This will be a largely local effect if g(v) decays rapidly but may contain longer term effects if g(v) has a hump, remote from the origin. In principle A(t) should always remain positive but models for which the probability of negative values is small may be useful approximations. We, therefore, assume g(v) ^ 0 and g{v) = 0 (v < 0). If we assume stationarity, then from (8) we have or Thus we must have v > 0 and A = E{A(t)} = v + A I g(t-u)du, (9) J -oo A = / oo g{v)dv < 1. Jo To obtain an equation for the covariance density we observe that, for T > 0, (8) Applying (2), wefind,for r > 0, = E [^ { +J%(t + T-«)dff(«)}] - A«= g(t v)/i' fi \v)dv. J oo li(j) = A<7(T)+ g{t-v)(i{v)dv. (10) J -00

Spectra of some self-exciting and mutally exciting point processes 85 This integral equation in general is difficult to solve analytically. Since /I(T) is symmetric the equation may be written as 1*00 CT /I(T) = Agr(r)+ g(r + v)fi{v)dv+ g{r-v)(i{v)dv (T > 0). (11) Jo Jo Standard techniques exist for the numerical solution of integral equations (Mayers, 1962). In (11) the single integral of (10) has been decomposed into two separate integrals. This is convenient as different correction terms are appropriate for the numerical integration of these two types. A finite difference method which decomposes the interval (0, oo) into disjoint intervals with more pivot points near the origin would be appropriate. An analytic solution may be obtained when g(v) decays exponentially. with If we consider the special case 3. THE CASE OF EXPONENTIAL DECAY then, taking the Laplace transform of (11), we find and so 9(V) = S o,e-4" (v > 0), (12) j l P /»*(«) = 1-S If we put s = /? r (r = 1,..., k) in this equation, we obtain k linear equations in the k unknowns fi*(ft r ) which can easily be solved. Equation (13) will then give a well determined function. The spectrum of this process is then easily obtained since, from (3), we see ^ -»o>)}. (14) If we multiply the numerator and denominator in (13) by II (^ + s) we see that /**(«) = Pi(s)IPi(s), where p x (s) and p z (s) are polynomials of degree {k- 1) and k, respectively. The general form of /I(T) on inversion will thus be Mr) = S 7ye-*i T (T > 0), where Tfj are the roots of p 2 (s). In the case k = 1 when #(t>) = ae"> (v > 0), we find that ji*(ft) = aa/(y?-a). Therefore, a)' (15)

86 ALAN G. HAWKES Then ^ ) ) T (r>0), (16) where, from (9), A = v/?/(y?-a). Now it is known (Bartlett, 19636) that for a doubly stochastic process the covariance density fi{r) is identical with the covariance function of A(t). Thus the second-order properties of this self-exciting process as exhibited in (16) and (17) could equally well be obtained from a doubly stochastic process where A(t) has covariance function (16). Such a process can be generated in the form = 7+1 A(t) = y+\ e-v- a)»-">dz(«), (18) -a J where z(u) is a process of orthogonal increments with E{dz(u)} = m du, va,x{dz(u)} = a where y and m are any constants satisfying A = y + ra/(/? a). It is to be expected that the result (13) could also be obtained from a doubly stochastic process where A(t) has the form A(t) fc n = y+ e- 3 = lj-co for a suitable choice of parameters, where z,(w) are mutually orthogonal processes of orthogonal increments. Thus it is clear that given a set of data from a point process we cannot expect to discriminate between a self-exciting and a doubly stochastic process on the basis of the estimated point spectrum, covariance density or other equivalent functions such as the variance-time function (Cox & Lewis, 1966, p. 72). Bartlett (1964) found a clustering process with the same second-order properties as a two-dimensional doubly stochastic process; indeed it was completely statistically identical. Vere-Jones (1970) gives a similar one-dimensional example. 4. SOME MUTUALLY EXCITING PBOCESSES Consider k point processes N r (t) (r = 1,..., k) forming a vector process N(<) such that independently for each r, where or r(0 = l\n(s)(s < t)} = 0} = (M) ^(O-^+S P 9rs(t-u)dN s (u) s=l J-oo A(<) = v + f G(t-u) dn(u). (20) J 00

Spectra of some self-exciting and mutually exciting point processes 87 The vector of stationary densities is thus where provided A > 0. For T > 0 A=(I-r)- 1 v, (21) T= f"g(t;)cto, Jo (i(r) = E{dN(t + T) dn'(t)}l(dt 2 ) - AA' = E [(v + f +T G(< + T - «) dn(u)\ ^7^1 - A A' H J -o> ) at ] Thus, by (5), we have, for T > 0, = \ G(j-v)\&\v)dv. J -CO JX(T) = G(T) diag (A) + [ G(T - v) \x{v) dv. (22) J CO In principle this equation may be solved numerically in the same way as the one-dimensional case, but of course the labour involved increases rapidly and accuracy suffers, except for special cases; see 5. In the exponential case n G(v) = 2 a (m) e-^m) ", we may take the element by element Laplace transform of (22), and using ji( T) = [L'(T), we find p.*( 5 ) = {I - G*{s)}~ 1 \G*{S) diag (A) + S <x<"v{/?<"»}/{/?< m > + s}]. (23) L m=l J By inserting s = /? (m) (m = 1,...,n) in (23), we obtain a set of linear equations for the unknown constants /^-{/? (m) }, the solution of which may be substituted into (23) to give the complete solution for (i*(s). The spectral matrix is then given by From (23) we may infer the general form F(w) = {diag (A) + n*(i«) + {x.*( - i(o)}. (24) (r > 0), where the elements of T r (r) are polynomials in r, usually constant. Some results may be obtained explicitly in simple cases. For example, in the bivariate case, k = 2, with simple exponential decays we will assume that for i = 1,2 and,?' = 1,2 Hence 9iji v ) = a i3 e-^* (v > 0). Then (23) yields flf («)], (25)

88 ALAN G. HAWKES where ( fin) + &{*) /«0&(«) {?&(«) A x +? n{s) /4i(An) + fl&(«) /4( A12)} + <&(«) &&(«) A a + flr («)/«(/? 21 ) +^S(«)/«S(/?2s)}. (26) The values of h 22 (s) and ^2i( 5 ) are obtained from these by interchanging suffices. Case 1: Non-interacting. If a 12 = a 21 = 0, the cross-covariances are zero and each process is self-exciting. Then as in (15). Case 2: One-way interaction. If a 21 = 0, the behaviour of N t (t) does not affect the future of the N 2 (t) process which will be a simple self-exciting process, and The result is particularly simple if a 22 = 0 also, so that N 2 (t) is just a Poisson process. Then substituting in (25) and (26) we find Solving for /tu(yffu), we find Then inversion of (27) yields, for T > 0, = i«22 = 0, /4L(S) = /* («) = 0. *'" ' (27) which has the expected general form. We observe that (i) if a 12 = 0, (28) reduces to (16); (ii) if a n = 0, then N^t) is 'simply excited' by the N 2 (t) processes. Then equation (28) gives

Spectra of some self-exciting and mutually exciting point processes 89 This agrees with the result for the doubly stochastic process which in fact it is; see (16). As mentioned in 3, fi lx (j) is also consistent with a self-excited process. In this case the selfexcited and simply-excited processes may be discriminated by looking at the cross-covariance /I 12 (T). 5. PROCESS WITH KNOWN EXCITER If the interaction between two processes is one-way in the sense that pr[a 1(^(5),N 2 (s)}(-oo < s ^ t)] = pr{.4 IV 2 (s)(-oo < s < t)} for any set A in the Borel field of the process {iv 2 (s), t ^ s}, i.e. the future behaviour of N 2 (s) is independent of the past of N t {s) when the past of N 2 (s) is known, then it is possible to allow N 2 (t) to behave in a more general manner. Suppose.AT^) i s a point process with known spectrum/ 22 (a>) and that where pr{aiv 1 («) = 11-^(5) (-00 < s< t), N 2 (s)(-co<s <co)} = A 1 (t)m + o(m), (29) Ai(O = v 1 + g n (t ~ u) dn-iiu) + g 12 (t - u) dn 2 (u). J 00 J 00 Notice that the essential difference between this and the previous theory lies in the conditioning event (29). As before we have, for r > 0, +\ gii(r-v)/i 11 (v)dv+\ g 12 (r-v)/i 21 (v)dv. (30) However, by virtue of the conditioning event in (29), the similar equation = g u (T-u)fi 12 (u)du+\ g 12 (T-u)/i 2 c 2 \u)du (31) holds for all values of r. Hence on taking transforms we find the cross-spectrum The value of /I 12 (T) may be obtained by inversion, probably numerically, and we note /*2i( T ) = /*i2( T ) an( l /21M = fiz( w )- The third term in (30) is thus a known function of T and (30) becomes an integral equation which may be solved by the same methods as (10). The case g n (u) = 0 is a doubly stochastic process. Therefore (30) holds for all r and one may take the transform to obtain which is the usual result for the doubly stochastic process. The above results can be applied to the fe-variate process of 4 when the transition matrix G(u) can be partitioned as [ 0 G 22 (u)\'

90 ALAN G. HAWKES where the vector process N 2 (<) does not depend on the past of the vector process N^i), given the past of N 2 ( ). Equations (30) and (31) are to be interpreted as matrix equations and (32) becomes F 12 (a>) = {I-G&iwfl-iG&twJF^w). This is particularly useful when G(u) is triangular, so N t (t) only depends on N } (t) (j = i, i + l,...,k). In this case the solution for i^ft _ 1 (i) can be found from the properties of N k (t). The solution for N k _ 2 {t) from the properties of N^^t) and N k (t) and so on recursively solving each one by applying the methods of this section. 6. APPLICATIONS The object of this study is to produce a class of theoretical models which may be applicable to a variety of problems. We have concentrated on the second-order properties since these are most amenable to data analysis for testing goodness of fit. Some possible applications are suggested. The self-exciting process is a possible epidemic model in large populations in so far as the occurrence of a number of cases increases the probability of further cases. The mutually exciting processes could provide models for epidemics in which different types of cases are considered (children, adults, animals) and for associated diseases such as shingles and chicken pox. Other applications might be in complex equipment: for example, the computer (Lewis, 1964) and the human body, as a model of neuron firing (Coleman & Gastwirth, 1969). Another application might be to the emission of particles from a radiating body which is excited by impact of other particles. REFERENCES BARTLETT, M. S. (1963a). Statistical estimation of density functions. Sankhya A 25, 245-54. BARTLETT, M. S. (19636). The spectral analysis of point processes. J. R. Statist. Soc. B 25, 264-96. BABTLETT, M. S. (1964). The spectral analysis of two-dimensional point processes. Biometrika 51, 299-311. COLEMAN, R. & GASTWTRTH, J. L. (1969). Some models for interaction of renewal processes related to neuron firing. J. Appl. Prob. 6, 59-73. Cox, D. R. & LEWIS, P. A. W. (1966). The Statistical Analysis of Series of Events. London: Methuen. LEWIS, P. A. W. (1964). A branching Poisson process model for the analysis of computer failure patterns. J. R. Statist. Soc. B 26, 398-456. MAYERS, D. F. (1962). Chapters 11 to 14 in Numerical Solution of Ordinary and Partial Differential Equations, edited by L. Fox. London: Pergamon. VERE-JONES, D. (1970). Stochastic models for earthquake occurrence. J. R. Statist. Soc. B 32, 1-62. [Received April 1970. Revised June 1970] Some key words: Point process; Self-exciting point process; Spectrum of point process; Covariance density.