Bayesian Neural Hawkes Process for Event Uncertainty Prediction
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Many applications comprise of sequences of event data with the time of occurrence of the events. Models for predicting time of occurrence play a significant role in a diverse set of applications like social networks, financial transactions, healthcare, and human mobility. Recent works have introduced neural network based point process for modeling event-times, and were shown to provide state-of-the-art performance in predicting event-times. However, neural networks are poor at quantifying predictive uncertainty and tend to produce overconfident predictions during extrapolation. A proper uncertainty quantification is crucial for many practical applications. Therefore, we propose a novel point process model, Bayesian Neural Hawkes process which leverages uncertainty modelling capability of Bayesian models and generalization capability of the neural networks. The model is capable of predicting epistemic uncertainty over the event occurrence time and its effectiveness is demonstrated for on simulated and real-world datasets.
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