Fast Estimation of Causal Interactions using Wold Processes

We here focus on the task of learning Granger causality matrices for multivariate point processes. In order to accomplish this task, our work is the first to explore the use of Wold processes. By doing so, we are able to develop asymptotically fast MCMC learning algorithms. WithN being the total number of events andK the number of processes, our learning algorithm has aO(N(log(N) + log(K))) cost per iteration.