Granger Causal Inference in Multivariate Hawkes Processes by Minimum Message Length

1 code implementation • 5 Sep 2023 • Katerina Hlavackova-Schindler, Anna Melnykova, Irene Tubikanec

Multivariate Hawkes processes (MHPs) are versatile probabilistic tools used to model various real-life phenomena: earthquakes, operations on stock markets, neuronal activity, virus propagation and many others.

Causal Inference Model Selection