canerturkmen / lowrankhawkes

fast low rank multivariate Hawkes processes

Low Rank Hawkes Processes

Code for low rank Hawkes processes (LRHP). To run the synthetic experiments,

pip install -r requirements.txt
cd scripts && python exp_synthetic.py

• data houses various data sets used for experiments
• lrhp includes the latest source and common utilities
• scripts has notebooks and scripts for reproducing experiments

For any questions, contact us.

Reference

@inproceedings{turkmen2020clustering,
  title={Clustering event streams with low rank Hawkes processes},
  author={T{\"u}rkmen, Ali Caner and Capan, G{\"o}khan and Cemgil, Ali Taylan},
  year={2020}
}