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IreneTubikanec/MMLH
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Authors: Anna Melnykova, Irene Tubikanec Date: 2023-08-18 Description: This code has been developed jointly by Anna Melnykova and Irene Tubikanec. It provides an implementation of the algorithm MMLH, proposed in the paper: Granger Causal Inference in Multivariate Hawkes Processes by Minimum Message Length, by K. Hlavackova-Schindler, A. Melnykova and I. Tubikanec In particular, it reproduces the estimation results of MMLH-u and MMLH-e in the "Sparse Setting 1 - Cascade structure" for p=7 and T=200 (see Table 1 in the paper) and can be easily adapted to other settings. How does the code work? 1. Install relevant packages (in particular, see the top of the R-file main_MML_cascade). 2. Adjust the section "Choose setting" (e.g., set the number of trials N, the dimension p and the time horizon T). 3. Run the R-file main_MML_cascade (Algorithm MMLH). After termination of the algorithm, the obtained F1-scores (averaged over the N trials) are shown. Code description: For a detailed description of the code, please consider the respective files. Licence information: Please consider the txt-files LICENCE and COPYING.GPL.v3.0.
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