Local Independence Testing for Point Processes

Code

• github.com/nikolajthams/lipp
  OfficialIn papernone★ 2

Abstract

Constraint based causal structure learning for point processes require empirical tests of local independence. Existing tests require strong model assumptions, e.g. that the true data generating model is a Hawkes process with no latent confounders. Even when restricting attention to Hawkes processes, latent confounders are a major technical difficulty because a marginalized process will generally not be a Hawkes process itself. We introduce an expansion similar to Volterra expansions as a tool to represent marginalized intensities. Our main theoretical result is that such expansions can approximate the true marginalized intensity arbitrarily well. Based on this we propose a test of local independence and investigate its properties in real and simulated data.

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