Hyperparameter Setting for a Marked Multidimensional Hawkes Process with Dissimilar Decays

Abstract

We provide further details for using Lim, et al.'s marked multidimensional Hawkes processes with dissimilar decays. We first describe what makes these different from other Hawkes processes, then describe each model hyperparameter and how to initialize it informed by the input data and any prior biases. We derived tighter bounds than Lim, et al. for faster convergence of rejection sampling. The resulting hyperparameters and bounds have been helpful against both synthetic and real-world datasets.