Abstract
In this paper, we develop an efficient nonparametric Bayesian estimation of the kernel function of Hawkes processes. The non-parametric
Bayesian approach is important because it provides
flexible Hawkes kernels and quantifies their uncertainty. Our method is based on the cluster representation of Hawkes processes. Utilizing the
stationarity of the Hawkes process, we efficiently
sample random branching structures and thus, we
split the Hawkes process into clusters of Poisson
processes. We derive two algorithms — a block
Gibbs sampler and a maximum a posteriori estimator based on expectation maximization — and
we show that our methods have a linear time complexity, both theoretically and empirically. On synthetic data, we show our methods to be able to infer
flexible Hawkes triggering kernels. On two largescale Twitter diffusion datasets, we show that our
methods outperform the current state-of-the-art in
goodness-of-fit and that the time complexity is linear in the size of the dataset. We also observe that
on diffusions related to online videos, the learned
kernels reflect the perceived longevity for different
content types such as music or pets videos