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Adding loss operator of a Hawkes self-exciting process #14683
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Thanks for the contribution! I have not done reading all code yet, just one quick comment |
@canerturkmen Thanks for the contribution, could you take a look at the test failure? |
Thanks for the comment @roywei. I understand it was an unrelated random fail of another op's test. |
@eric-haibin-lin thanks for your comment Haibin! I think this version should do it (with more verbose indexing of the inputs and outputs). |
I believe the test fail is unrelated to the contribution (for commit hash
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Thanks for the update. I triggered the CI again and hopefully it passes this time. Are you going to contribute an end2end example for point process model? Or do you have a link to an example for point process? |
Thanks @eric-haibin-lin! The model will be part of a separate library which will use the operator. |
Apologies for a careless mistake in CONTRIBUTORS. As far as the example goes, this is rather a "likelihood" that can be reused in point process models, but the operator itself can be used directly to compute the density of a simple Hawkes process model. There's a link in the doc string to a tutorial. I can update with a link later when the model itself is open-sourced (WIP). |
The test fail is not related to the operator. |
Triggered the test again. This test seems to be disabled on mxnet master. If it does not pass this time, we need to sync with the master branch |
Looks like it's another unrelated test fail this time. Anyway, I synced with the latest master. Fingers crossed.
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Thanks for your contribution! Look forward to your model when it is open sourced |
Description
The Hawkes process is a temporal point process model for self-exciting phenomena such as earthquakes, limit orders (finance), neuronal stimuli and social media activity.
This operator computes the log likelihood of a set of "marked" Hawkes processes, whose observations are represented in variable length (ragged) tensors.
Checklist
Essentials
Please feel free to remove inapplicable items for your PR.