Contagion processes and their statistics

The spread of quantities of things - earthquakes/diseases/innovations/credit defaults - between different georegions/populations/vertices/banks/variates.

In my own internal taxonomy growth in a single scalar value branching processes. Here I am concerned contagion between different variates. This distinction is arbitrary.

For now this is a mere collection of research links because I am hunting for data sets; no fancy analysis for the moment.

I’ll annotate a couple of useful models here, and hopefully talk about identifiability and noisy/incomplete data issues using a graphical model formalism.

Dirichlet Hawkes process

I don’t know anything about these, but have had them referred to me as a plausible multivariate something something. See (J. C. L. Pinto and Chahed 2014; S.-H. Yang and Zha 2013).


Achab, Massil, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, and Jean-Francois Muzy. 2017. “Uncovering Causality from Multivariate Hawkes Integrated Cumulants.” In PMLR.
Ahmed, E., and A. S. Elgazzar. 2007. “On Fractional Order Differential Equations Model for Nonlocal Epidemics.” Physica A: Statistical Mechanics and Its Applications 379 (2): 607–14.
Amini, Hamed, Rama Cont, and Andreea Minca. 2013. “Resilience to Contagion in Financial Networks.” Mathematical Finance, October, n/a–.
Aragón, Tomás J. 2012. Applied Epidemiology Using R. MedEpi Publishing. http://www. medepi. net/epir/index. html. Calendar Time. Accessed.
Aral, Sinan, Lev Muchnik, and Arun Sundararajan. 2009. “Distinguishing Influence-Based Contagion from Homophily-Driven Diffusion in Dynamic Networks.” Proceedings of the National Academy of Sciences 106 (51): 21544–49.
Azizpour, Shariar, Kay Giesecke, and others. 2008. “Self-Exciting Corporate Defaults: Contagion Vs. Frailty.” Stanford University working paper series.
Bacry, Emmanuel, Martin Bompaire, Stéphane Gaïffas, and Jean-Francois Muzy. 2020. “Sparse and Low-Rank Multivariate Hawkes Processes.” Journal of Machine Learning Research 21 (50): 1–32.
Bacry, Emmanuel, and Jean-François Muzy. 2016. “First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.” IEEE Transactions on Information Theory 62 (4, 4): 2184–2202.
Barnett, Lionel, Adam B. Barrett, and Anil K. Seth. 2009. “Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables.” Physical Review Letters 103 (23): 238701.
Barrett, Adam B, Lionel Barnett, and Anil K Seth. 2010. “Multivariate Granger Causality and Generalized Variance.” Phys. Rev. E 81 (4): 041907.
Battey, Heather, and Alessio Sancetta. 2013. “Conditional Estimation for Dependent Functional Data.” Journal of Multivariate Analysis 120 (September): 1–17.
Brault, Romain, Néhémy Lim, and Florence d’Alché-Buc. n.d. “Scaling up Vector Autoregressive Models With Operator-Valued Random Fourier Features.” Accessed August 31, 2016.
Burridge, James. 2013a. “Cascade Sizes in a Branching Process with Gamma Distributed Generations.” April 12, 2013.
———. 2013b. “Crossover Behavior in Driven Cascades.” Physical Review E 88 (3): 032124.
Cauchemez, Simon, and Neil M. Ferguson. 2008. “Likelihood-Based Estimation of Continuous-Time Epidemic Models from Time-Series Data: Application to Measles Transmission in London.” Journal of The Royal Society Interface 5 (25): 885–97.
Centola, D, and Michael W Macy. 2007. “Complex Contagions and the Weakness of Long Ties.” American Journal of Sociology 113 (3): 702.
Chen, Elynn Y., Jianqing Fan, and Xuening Zhu. 2020. “Community Network Auto-Regression for High-Dimensional Time Series.” July 10, 2020.
Chongsuvivatwong, Virasakdi. 2008. Analysis of Epidemiological Data Using R and Epicalc. Book Unit, Faculty of Medicine, Prince of Songkla University Thailand.
Cook, Alex R., Wilfred Otten, Glenn Marion, Gavin J. Gibson, and Christopher A. Gilligan. 2007. “Estimation of Multiple Transmission Rates for Epidemics in Heterogeneous Populations.” Proceedings of the National Academy of Sciences 104 (51): 20392–97.
Dahlhaus, Rainer, and Michael Eichler. 2003. “Causality and Graphical Models in Time Series Analysis.” Oxford Statistical Science Series, 115–37. eichler/hsss.pdf.
Daneshmand, Hadi, Manuel Gomez-Rodriguez, Le Song, and Bernhard Schölkopf. 2014. “Estimating Diffusion Network Structures: Recovery Conditions, Sample Complexity & Soft-Thresholding Algorithm.” In ICML.
Davis, Richard A., Pengfei Zang, and Tian Zheng. 2012. “Sparse Vector Autoregressive Modeling.” July 2, 2012.
Dodds, Peter Sheridan. 2017. “Slightly Generalized Generalized Contagion: Unifying Simple Models of Biological and Social Spreading.” August 31, 2017.
Du, Nan, Hanjun Dai, Rakshit Trivedi, Utkarsh Upadhyay, Manuel Gomez-Rodriguez, and Le Song. 2016. “Recurrent Marked Temporal Point Processes: Embedding Event History to Vector.” In Proceedings of the 22Nd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining, 1555–64. KDD ’16. New York, NY, USA: ACM.
Du, Nan, Le Song, Manuel Gomez-Rodriguez, and Hongyuan Zha. 2013. “Scalable Influence Estimation in Continuous-Time Diffusion Networks.” In Advances in Neural Information Processing Systems, 3147–55.
Du, Nan, Le Song, Ming Yuan, and Alex J. Smola. 2012. “Learning Networks of Heterogeneous Influence.” In Advances in Neural Information Processing Systems, 2780–88.
Eichler, Michael. 2001. “Granger-Causality Graphs for Multivariate Time Series.” Granger-Causality Graphs for Multivariate Time Series.
———. 2007. “Granger Causality and Path Diagrams for Multivariate Time Series.” Journal of Econometrics 137 (2): 334–53.
Eichler, Michael, Rainer Dahlhaus, and Johannes Dueck. 2016. “Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions.” Journal of Time Series Analysis, January, n/a–.
Ferland, René, Alain Latour, and Driss Oraichi. 2006. “Integer-Valued GARCH Process.” Journal of Time Series Analysis 27 (6): 923–42.
Gelper, Sarah, Ines Wilms, and Christophe Croux. 2016. “Identifying Demand Effects in a Large Network of Product Categories.” Journal of Retailing 92 (1): 25–39.
Glasserman, Paul, and H. Peyton Young. 2016. “Contagion in Financial Networks.” Journal of Economic Literature 54 (3): 779–831.
Gomez-Rodriguez, Manuel, Jure Leskovec, David Balduzzi, and Bernhard Schölkopf. 2014. “Uncovering the Structure and Temporal Dynamics of Information Propagation.” Network Science 2 (01): 26–65.
Gomez-Rodriguez, Manuel, Jure Leskovec, and Bernhard Schölkopf. 2013. “Structure and Dynamics of Information Pathways in Online Media.” In Proceedings of the Sixth ACM International Conference on Web Search and Data Mining, 23–32. WSDM ’13. New York, NY, USA: ACM.
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———. 2004. “Time Series Analysis, Cointegration, and Applications.” American Economic Review, 421–25.
Greenhill, Catherine, Mikhail Isaev, Matthew Kwan, and Brendan D. McKay. 2016. “The Average Number of Spanning Trees in Sparse Graphs with Given Degrees.” June 5, 2016.
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Guille, Adrien, Hakim Hacid, Cecile Favre, and Djamel A. Zighed. 2013. “Information Diffusion in Online Social Networks: A Survey.” SIGMOD Rec. 42 (2): 17–28.
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Hoffmann, Till, Leto Peel, Renaud Lambiotte, and Nick S. Jones. 2020. “Community Detection in Networks Without Observing Edges.” Science Advances 6 (4): eaav1478.
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Iyengar, Raghuram, Christophe Van den Bulte, and Thomas W. Valente. 2011. “Opinion Leadership and Social Contagion in New Product Diffusion.” Marketing Science 30 (2): 195–212.
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Morozova, Olga, Ted Cohen, and Forrest W. Crawford. 2018. “Risk Ratios for Contagious Outcomes.” Journal of The Royal Society Interface 15 (138): 20170696.
Ogata, Yosihiko, Ritsuko S. Matsu’ura, and Koichi Katsura. 1993. “Fast Likelihood Computation of Epidemic Type Aftershock-Sequence Model.” Geophysical Research Letters 20 (19): 2143–46.
Pinto, Julio Cesar Louzada, and Tijani Chahed. 2014. “Modeling Multi-Topic Information Diffusion in Social Networks Using Latent Dirichlet Allocation and Hawkes Processes.” In Proceedings of the 2014 Tenth International Conference on Signal-Image Technology and Internet-Based Systems, 339–46. SITIS ’14. Washington, DC, USA: IEEE Computer Society.
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———. 2011b. “Generating Functions and Stability Study of Multivariate Self-Excited Epidemic Processes.” January 28, 2011.
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