Sparse and low-rank multivariate Hawkes processes
Published in Journal of Machine Learning Research, 2020
E. Bacry, M. Bompaire, S. Gaïffas and J-F. Muzy
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the least-squares loss associated with a multivariate Hawkes model, penalized by $\ell_1$ and trace norm of the interaction tensor. We provide a first theoretical analysis for this problem, that includes sparsity and low-rank inducing penalizations. This result involves a new data-driven concentration inequality for matrix martingales in continuous time with observable variance, which is a result of independent interest and a broad range of possible applications since it extends to matrix martingales former results restricted to the scalar case. A consequence of our analysis is the construction of sharply tuned $\ell_1$ and trace-norm penalizations, that leads to a data-driven scaling of the variability of information available for each users. Numerical experiments illustrate the significant improvements achieved by the use of such data-driven penalizations.
