Transformer Hawkes Process
read the original abstract
Modern data acquisition routinely produce massive amounts of event sequence data in various domains, such as social media, healthcare, and financial markets. These data often exhibit complicated short-term and long-term temporal dependencies. However, most of the existing recurrent neural network based point process models fail to capture such dependencies, and yield unreliable prediction performance. To address this issue, we propose a Transformer Hawkes Process (THP) model, which leverages the self-attention mechanism to capture long-term dependencies and meanwhile enjoys computational efficiency. Numerical experiments on various datasets show that THP outperforms existing models in terms of both likelihood and event prediction accuracy by a notable margin. Moreover, THP is quite general and can incorporate additional structural knowledge. We provide a concrete example, where THP achieves improved prediction performance for learning multiple point processes when incorporating their relational information.
This paper has not been read by Pith yet.
Forward citations
Cited by 3 Pith papers
-
SurF: A Generative Model for Multivariate Irregular Time Series Forecasting
SurF applies the Time Rescaling Theorem as a learnable bijection to create a single generative model for forecasting irregular multivariate event streams that outperforms or matches baselines on six benchmarks.
-
ASTRAFier: A Novel and Scalable Transformer-based Stellar Variability Classifier
ASTRAFier is a Transformer-BiLSTM-CNN model that classifies stellar variability from light curves, reporting 94.26% accuracy on Kepler data and 88.22% on TESS, then applied to 2.8 million TESS curves to release a catalog.
-
Modeling Patient Care Trajectories with Transformer Hawkes Processes
A Transformer Hawkes Process with inverse square-root class weighting improves joint prediction of event types and timings in patient care trajectories on real healthcare data.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.