Score-Matching Estimators For Continuous-Time Point-Process Regression Models
Maneesh Sahani, Gatsby Unit, University College London
Gergo Bohner, Gatsby Unit, University College London
Arne Meyer, Gatsby Unit, University College London

Abstract:
We introduce a new class of efficient estimators based on score matching for probabilistic point process models. Unlike discretised likelihood-based estimators, score matching estimators operate on continuous-time data, with computational demands that grow with the number of events rather than with total observation time. Furthermore, estimators for many common regression models can be obtained in closed form, rather than by iteration. This new approach to estimation may thus expand the range of tractable models available for event-based data.