Temporal Concentration
From Open Risk Manual
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Contents
Definition
Temporal Concentration (also Temporal Clustering) describes dynamic (time dependent) phenomena where the occurrence (rate, frequency or other measured quantity) of events exhibits non-uniform characteristics
Models
The archetype of a temporal process that does not exhibit concentration or clustering of events is the Poisson process. A variety of other proposed point processes can be used to model temporal concentration.
A special class of point process that exhibits enhanced clustering is the Hawkes process (also known as a self-exciting counting process). It is a simple point process but whose conditional intensity depends on the previous even count (hence the occurence of an event may precipitate more events).
Measurement
- Binning of temporal intervals (e.g. hourly, daily, monthly etc)
- Aggregation of amounts or counts within interval
- Application of standard Univariate Concentration Indexes
