Hawkes_pytorch

Pytorch Implementation of Hawkes Process

Finished

• Multivariate Hawkel process with single kernel for all events
• \lbda_i(t) = \mu_i + \sum_{t_k < t} \alpha_{i y_{t_k}} \omega \exp{-\omega (t -t_k)}

Todo

• Implement event forecasting (what type and what time)
• EM algorithm
• Multi-Kernel