Variational Bayesian Inference for Nonlinear Hawkes Process with Gaussian Process Self-Effects

Traditionally, Hawkes processes are used to model time-continuous point processes with history dependence. Here, we propose an extended model where the self-effects are of both excitatory and inhibitory types and follow a Gaussian Process. Whereas previous work either relies on a less flexible param...

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Bibliographic Details

Published in:	Entropy
Main Authors:	Noa Malem-Shinitski, César Ojeda, Manfred Opper
Format:	Article
Language:	English
Published:	MDPI AG 2022-02-01
Subjects:	Bayesian inference point process Gaussian process
Online Access:	https://www.mdpi.com/1099-4300/24/3/356