Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Hawkes ( ) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this article, it is shown that the Granger causality structure of such processes is fully encoded in the corresponding link functions of the model. A new nonparametric estimator of …