Scalable and adaptive variational algorithms for nonlinear Hawkes processes

Source code for Scalable Variational Bayes methods for Hawkes processes

This repository contains a class to simulate from a multivariate nonlinear Hawkes process and the adaptive variational inference methods of the paper.

Example

An example of the code is provided in notebooks/example_1.ipynb

Dependencies

The packages needed to run this code are provided in the file requirements.tex.