# evently: simulation, fitting of Hawkes processes

## Introduction

This package is designed for simulating and fitting the Hawkes processes and the HawkesN processes with several options of kernel functions. Currently, it assumes univariate processes without background event rates. Prior knowledge about the models is assumed in the following tutorial and please refer to [1] and [2] for details about the models.

```
library(evently)
```

## Installation and dependencies

Several dependencies (poweRlaw, AMPL, Ipopt) are required for running this package. These dependencies will be installed automatically by R or by following instructions upon package load.

Install the package by executing

```
if (!require('devtools')) install.packages('devtools')
devtools::install_github('behavioral-ds/evently')
```

## Simulating cascades

Let’s first simulate 100 event cascades of the **Hawkes process with an
exponential kernel function** (please refer to the Available
models for models and their abbreviations in the
package) with a given parameter set, . For each simulation, we only simulate
until 5 seconds. The resulted cascades are placed in a single `list`

where each cascade is a `data.frame`

.

```
set.seed(4)
sim_no <- 100
data <- generate_hawkes_event_series(par = c(K = 0.9, theta = 1), model_type = 'EXP', Tmax = 5, sim_no = sim_no)
# alternatively, `generate_hawkes_event_series` also accepts a model class object
# e.g.
# model <- new_hawkes_model(par = c(K = 0.9, theta = 1), model_type = 'EXP')
# generate_hawkes_event_series(model = model, Tmax = 5, sim_no = sim_no)
head(data[[1]])
```

```
## magnitude time
## 1 1 0.0000000
## 2 1 0.5941959
## 3 1 1.4712411
## 4 1 1.6105430
## 5 1 1.7855535
## 6 1 1.8883869
```

A simulated process is represented by a `data.frame`

where each row is
an event. `time`

indicates the event happening time, while `magnitude`

is the event mark information which is always 1 if `model_type`

is an
unmarked model. In the context of retweet diffusion cascades, the first
row is the original tweet and all following events are its retweets.
`time`

records the relative time (in second) of each retweet to the
original tweet and `magnitude`

is the follows’ count of the user who
retweeted.

## Fitting a model on data

We can then fit on the cascades simulated in the previous section. After
providing the `data`

and `model_type`

, the fitting procedure will spawn
10 AMPL optimization procedures with different parameter
inistializations due to the non-convexity of some likelihood functions.
Among the 10 fitted model, the one giving the best likelihood value will
be returned. To make the fitting procedure faster, we can specify the
number of `cores`

to be used for fitting them in
parallel.

```
fitted_model <- fit_series(data, model_type = 'EXP', observation_time = 5, cores = 10)
fitted_model
```

```
## Model: EXP
## No. of cascades: 100
## init_par
## K 7.92e+00; theta 1.32e+00
## par
## K 8.51e-01; theta 1.06e+00
## Neg Log Likelihood: 285.488
## lower_bound
## K 1.00e-100; theta 1.00e-100
## upper_bound
## K 1.00e+04; theta 3.00e+02
## convergence: 0
```

## Available models

There are 8 models available so far in this package:

Model | Abbreviation (model_type) | Intensity Function | Parameters |
---|---|---|---|

Hawkes process with an exponential kernel function | EXP | K,theta | |

Hawkes process with a power-law kernel function | PL | K,c,theta | |

HawkesN process with an exponential kernel function | EXPN | K,theta,N | |

HawkesN process with a power-law kernel function | PLN | K,c,theta,N | |

Marked Hawkes process with an exponential kernel function | mEXP | K,beta,theta | |

Marked Hawkes process with a power-law kernel function | mPL | K,beta,c,theta | |

Marked HawkesN process with an exponential kernel function | mEXPN | K,beta,theta,N | |

Marked HawkesN process with a power-law kernel function | mPLN | K,beta,c,theta,N |

## Acknowledgement

The development of this package is supported by the Green Policy grant from the National Security College, Crawford School, ANU.

## License

Both dataset and code are distributed under the Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) license. If you require a different license, please contact us at [email protected] or [email protected].

## Reference

[1] Rizoiu, M. A., Lee, Y., Mishra, S., & Xie, L. (2017, December). Hawkes processes for events in social media. In Frontiers of Multimedia Research (pp. 191-218). Association for Computing Machinery
and Morgan & Claypool.

[2] Rizoiu, M. A., Mishra, S., Kong, Q., Carman, M., & Xie, L.
(2018, April). SIR-Hawkes: Linking epidemic models and Hawkes processes to model diffusions in finite populations. In Proceedings of the 2018 World Wide Web Conference (pp. 419-428). International World Wide Web Conferences Steering Committee.

[3] Mishra, S., Rizoiu, M. A., & Xie, L. (2016, October). Feature
driven and point process approaches for popularity prediction. In Proceedings of the 25th ACM International on Conference on Information and Knowledge Management (pp. 1069-1078). ACM.

[4] Kong, Q., Rizoiu, M. A., & Xie, L. (2019). Modeling Information
Cascades with Self-exciting Processes via Generalized Epidemic Models. arXiv preprint arXiv:1910.05451.