Pytorch Implementation of Hawkes Process
- Multivariate Hawkel process with single kernel for all events
- \lbda_i(t) = \mu_i + \sum_{t_k < t} \alpha_{i y_{t_k}} \omega \exp{-\omega (t -t_k)}
- Implement event forecasting (what type and what time)
- EM algorithm
- Multi-Kernel