Chapter 6 Spatiotemporal self-exciting models

Although the Hawkes process is traditionally formulated as a temporal point process, it is also possible to formulate a spatiotemporal version of the Hawkes process.

For the spatiotemporal Hawkes processes fitted by this package, temporal self-excitement follows an exponential decay function. The self-excitement over space follows a Gaussian distribution centered at the triggering event. There are two formulations of this model. The default is that the Gaussian function has a fixed covariance matrix, independent of time. Alternatively, covariance can be directly proportional to time, meaning that the self-excitement radiates out from the center over time. This can be appropriate when the mechanism causing self-excitement travels at a finite speed, but is very memory-intensive.

The intensity function used by stelfi is

\[\lambda(s,t) = \mu + \alpha \Sigma_{i:\tau_i<t}(\text{exp}(-\beta * (t-\tau_i)) G_i(s-x_i, t - \tau_i)).\]

Here \(\mu\) is the background rate, \(\beta\) is the rate of temporal decay, \(\alpha\) is the increase in intensity after an event, \(\tau_i\) are the event times, \(x_i\) are the event locations (in 2D Euclidean space) and \(G_i(s-x_i, t - \tau_i)\) is the spatial self-excitement kernel.

For the version with time-independent spatial excitement: \(G_i(s-x_i, t - \tau_i) = f_X(s - x_i)\) where \(f_X\) is the density function of \(X \sim \text{N}(0, \Sigma)\)

For the version with time-dependent spatial excitement: \(G_i(s-x_i, t - \tau_i) = f_X(s - x_i)\) where \(f_X\) is the density function of \(X \sim \text{N}(0, (t-\tau_i)\Sigma)\)

6.1 The fit_stelfi() function

## function (times, locs, sf, smesh, parameters, covariates, GMRF = FALSE, 
##     time_independent = TRUE, tmb_silent = TRUE, nlminb_silent = TRUE, 
##     ...) 

6.1.2 Including a random field

##             Estimate   Std. Error
## mu       0.003432009  0.004005054
## coefs   -5.674609405  1.166970622
## alpha  259.064098445 15.626830249
## beta   259.064100335 15.626830029
## xsigma   0.548451292  0.021614775
## ysigma   0.296733579  0.014288649
## rho      0.024276592  0.056616125
## kappa    9.040965870 10.519143632
## tau      0.004644277  0.009560608