A test for dependence between two point processes on the real line

Patrick Rubin-Delanchy, Nicholas A. Heard

Research output: Contribution to journalArticle (Academic Journal)

Abstract

Many scientific questions rely on determining whether two sequences of event times are associated. This article introduces a likelihood ratio test which can be parameterised in several ways to detect different forms of dependence. A common finite-sample distribution is derived, and shown to be asymptotically related to a weighted Kolmogorov-Smirnov test. Analysis leading to these results also motivates a more general tool for diagnosing dependence. The methodology is demonstrated on data generated on an email network, showing evidence of information flow using only timing information. Implementation code is available in the R package `mppa'.
Original languageEnglish
Article numberarXiv:1408.3845
JournalarXiv
Publication statusPublished - 17 Aug 2014

Bibliographical note

19 pages, 4 figures

Keywords

  • Correlation
  • Point process
  • Hypothesis test
  • Triggering

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