Deep Continuous-Time State Space Models for Marked Event Sequences
Yuxin Chang, Alex Boyd, Cao (Danica) Xiao, Taha Kass-Hout, Parminder Bhatia, Padhraic Smyth, Andrew Warrington
Marked temporal point processes (MTPPs) model sequences of events occurring at irregular time intervals, with wide-ranging applications in fields such as healthcare, finance and social networks. We propose the _state-space point process_ (S2P2), a novel and performant model that leverages techniques derived for modern deep state-space models (SSMs) to overcome limitations of existing MTPP models, while simultaneously imbuing strong inductive biases for continuous-time event sequences that other discrete sequence models (i.e., RNNs, transformers, SSMs) do not capture. Inspired by the classical linear Hawkes processes, we propose an architecture that interleaves stochastic jump differential equations with nonlinearities to create a highly expressive intensity-based MTPP model, without the need for restrictive parametric assumptions for the intensity. This novel scheme admits efficient inference with a parallel scan, bringing linear complexity and sublinear scaling while retaining expressivity to MTPPs. Empirically, S2P2 achieves state-of-the-art predictive likelihoods across eight real-world datasets, delivering an average improvement of 33% over the best existing approaches.