Hawkes Processes are a type of point process for modeling self-excitation, i.e., when the occurrence of an event makes future events more likely to occur. The corresponding self-triggering function of this type of process may be inferred through an Unconstrained Optimization-based method for maximization of its corresponding Loglikelihood function. Unfortunately, the non-convexity of this procedure, along with the ill-conditioning of the initialization of the self- triggering function parameters, may lead to a consequent instability of this method. Here, we introduce Renormalization Factors, over four types of parametric kernels, as a solution to this instability. These factors are derived for each of the self-triggering function parameters, and also for more than one parameter considered jointly. Experimental results show that the Maximum Likelihood Estimation method shows improved performance with Renormalization Factors over sets of sequences of several different lengths.
More recent works, s.a. the neural network-based Hawkes processes in @cite_12 @cite_7 and the time-dependent Hawkes process (TiDeH) @cite_4 , allow for learning very flexible Hawkes processes with highly complicated intensity functions, while depending on the size and the quality of data.
@cite_4 @cite_7 @cite_12
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In recent years, Convolutional Neural Networks (CNNs) have shown remarkable performance in many computer vision tasks such as object recognition and detection. However, complex training issues, such as "catastrophic forgetting" and hyper-parameter tuning, make incremental learning in CNNs a difficult challenge. In this paper, we propose a hierarchical deep neural network, with CNNs at multiple levels, and a corresponding training method for lifelong learning. The network grows in a tree-like manner to accommodate the new classes of data without losing the ability to identify the previously trained classes. The proposed network was tested on CIFAR-10 and CIFAR-100 datasets, and compared against the method of fine tuning specific layers of a conventional CNN. We obtained comparable accuracies and achieved 40 and 20 reduction in training effort in CIFAR-10 and CIFAR 100 respectively. The network was able to organize the incoming classes of data into feature-driven super-classes. Our model improves upon existing hierarchical CNN models by adding the capability of self-growth and also yields important observations on feature selective classification. Since Convolutional Neural Networks (CNNs) have become the leading learning paradigm in visual recognition, Naive Bayes Nearest Neighbor (NBNN)-based classifiers have lost momentum in the community. This is because (1) such algorithms cannot use CNN activations as input features, (2) they cannot be used as final layer of CNN architectures for end-to-end training, and (3) they are generally not scalable and hence cannot handle big data. This paper proposes a framework that addresses all these issues, thus bringing back NBNNs on the map. We solve the first by extracting CNN activations from local patches at multiple scale levels, similarly to [13]. We address simultaneously the second and third by proposing a scalable version of Naive Bayes Non-linear Learning (NBNL, [7]). Results obtained using pre-trained CNNs on standard scene and domain adaptation databases show the strength of our approach, opening a new season for NBNNs. This paper presents a new approach for learning in structured domains (SDs) using a constructive neural network for graphs (NN4G). The new model allows the extension of the input domain for supervised neural networks to a general class of graphs including both acyclic cyclic, directed undirected labeled graphs. In particular, the model can realize adaptive contextual transductions, learning the mapping from graphs for both classification and regression tasks. In contrast to previous neural networks for structures that had a recursive dynamics, NN4G is based on a constructive feedforward architecture with state variables that uses neurons with no feedback connections. The neurons are applied to the input graphs by a general traversal process that relaxes the constraints of previous approaches derived by the causality assumption over hierarchical input data. Moreover, the incremental approach eliminates the need to introduce cyclic dependencies in the definition of the system state variables. In the traversal process, the NN4G units exploit (local) contextual information of the graphs vertices. In spite of the simplicity of the approach, we show that, through the compositionality of the contextual information developed by the learning, the model can deal with contextual information that is incrementally extended according to the graphs topology. The effectiveness and the generality of the new approach are investigated by analyzing its theoretical properties and providing experimental results. textabstractForecasting financial time series using past observations has been a significant topic of interest. While temporal relationships in the data exist, they are difficult to analyze and predict accurately due to the non-linear trends and noise present in the series. We propose to learn these dependencies by a convolutional neural network. In particular the focus is on multivariate time series forecasting. Effectively, we use multiple financial time series as input in the neural network, thus conditioning the forecast of a time series x(t) on both its own history as well as that of a second (or third) time series y(t). Training a model on multiple stock series allows the network to exploit the correlation structure between these series so that the network can learn the market dynamics in shorter sequences of data. We show that long-term temporal dependencies in and between financial time series can be learned by means of a deep convolutional neural network based on the WaveNet model [2]. The network makes use of dilated convolutions applied to multiple time series so that the receptive field of the network is wide enough to learn both short and long-term dependencies. The architecture includes batch normalization and uses a 1 × k convolution with parametrized skip connections from the input time series as well as the time series we condition on, in this way learning long-term interdependencies in an efficient manner [1]. This improves the forecast, while at the same time limiting the requirement for a long historical price series and reducing the noise. Knowing the strong performance of CNNs on classification problems we show that they can be applied successfully to forecasting financial time series, without the need of large samples of data. We compare the performance of the WaveNet model to a state-of-the-art fully convolutional network (FCN), and an autoregressive model popular in econometrics and show that our model is much better able to learn important dependencies in between financial time series resulting in a more robust and accurate forecast.