An ephemerally self-exciting point process. (14th June 2022)

• Record Type: Journal Article
• Authors: Daw, Andrew; Pender, Jamol
• Is Part Of: Advances in applied probability. Volume 54:Number 2(2022)
• Page Start: 340
• Page End: 403
• Publication Date: 2022-06-14
• Subjects: Self-excitement -- Hawkes process -- point process -- contagion -- interaction models; 60G55 -- 60K25 -- 60J75; Probabilities -- Periodicals; Stochastic models -- Periodicals; Electronic journals; Periodicals; 519.2
• DOI: 10.1017/apr.2021.35
• Languages: English
• ISSNs: 0001-8678

Abstract

Abstract: Across a wide variety of applications, the self-exciting Hawkes process has been used to model phenomena in which the history of events influences future occurrences. However, there may be many situations in which the past events only influence the future as long as they remain active. For example, a person spreads a contagious disease only as long as they are contagious. In this paper, we define a novel generalization of the Hawkes process that we call the ephemerally self-exciting process . In this new stochastic process, the excitement from one arrival lasts for a randomly drawn activity duration, hence the ephemerality. Our study includes exploration of the process itself as well as connections to well-known stochastic models such as branching processes, random walks, epidemics, preferential attachment, and Bayesian mixture models. Furthermore, we prove a batch scaling construction of general, marked Hawkes processes from a general ephemerally self-exciting model, and this novel limit theorem both provides insight into the Hawkes process and motivates the model contained herein as an attractive self-exciting process in its own right.