Nonparametric likelihood based estimation of linear filters for point processes

Research output: Contribution to journalJournal articleResearchpeer-review

We consider models for multivariate point processes where the intensity is given nonparametrically in terms of functions in a reproducing kernel Hilbert space. The likelihood function involves a time integral and is consequently not given in terms of a finite number of kernel evaluations. The main result is a representation of the gradient of the log-likelihood, which we use to derive computable approximations of the log-likelihood and the gradient by time discretization. These approximations are then used to minimize the approximate penalized log-likelihood. For time and memory efficiency the implementation relies crucially on the use of sparse matrices. As an illustration we consider neuron network modeling, and we use this example to investigate how the computational costs of the approximations depend on the resolution of the time discretization. The implementation is available in the R package ppsta
Original languageEnglish
JournalStatistics and Computing
Volume25
Issue number3
Pages (from-to)609-618
ISSN0960-3174
DOIs
Publication statusPublished - May 2015

    Research areas

  • Multivariate point processes, Penalization, Reproducing kernel Hilbert spaces, ppstat

ID: 150697553