# Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes

arXiv: https://arxiv.org/abs/2006.03572 · HTML: https://mlsanity.com/paper/2006.03572/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Jun 2020.

## Built on by (most cited first, 1 of 1)

- [Sequential change-point detection for mutually exciting point processes over networks](https://mlsanity.com/paper/2102.05724/) (2021)

## Abstract (arXiv)

High-dimensional self-exciting point processes have been widely used in many application areas to model discrete event data in which past and current events affect the likelihood of future events. In this paper, we are concerned with detecting abrupt changes of the coefficient matrices in discrete-time high-dimensional self-exciting Poisson processes, which have yet to be studied in the existing literature due to both theoretical and computational challenges rooted in the non-stationary and high-dimensional nature of the underlying process. We propose a penalized dynamic programming approach which is supported by a theoretical rate analysis and numerical evidence.