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Learning Granger Causality for Hawkes Processes

ICML 2016 · Graph learning › Graph algorithms and clustering · approach: Continuous DAG structure learning · 74 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
add sparse-group-lasso regularizer to MLE (MLE-SGL vs pure MLE) (ablation)Hawkes process impact functions on IPTV data · IPTV viewing data, LoglikeLoglike (x10^6): -1.904 to -1.880 at 1 month; -1.876 to -1.872 at 10 monthsHelped
replace ODE-based estimator with MLE-SGLHawkes process on IPTV data · IPTV viewing data, LoglikeLoglike (x10^6): -2.066 to -1.880 at 1 monthHelped
add group-lasso regularizer to MLE (ablation)Hawkes process on synthetic data · synthetic sine-like and piecewise datae_mu, e_phi, LoglikeHelped
add pairwise similarity (clustering) constraint to MLE-SGL (ablation)Hawkes process on synthetic data · synthetic data with clustering structureLoglike, e_mu, e_phiHelped
add sparse-group-lasso to pure MLE for recovering all-zero impact functions (ablation)Hawkes process on synthetic data · synthetic data, 500 training sequencesrecovery of all-zero impact functions (Granger graph)Helped
use Gaussian basis functions with mismatched piecewise-constant impact functionsMLE-SGLP on synthetic piecewise data · synthetic piecewise constant dataGranger graph recoveryNo clear effect

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