A fractional Hawkes process model for earthquake aftershock sequences

Abstract

Abstract A new type of Hawkes process, known as the fractional Hawkes Process (FHP), has been recently introduced. This process uses a Mittag-Leffler density as the kernel function which is asymptotically a power law and so similar to the Omori–Utsu law, suggesting the FHP may be an appropriate earthquake model. However, it is currently an unmarked point process meaning it is independent of an earthquake’s magnitude. We extend the existing FHP, by incorporating Utsu’s aftershock productivity law and a time-scaling parameter from the fractional Zener Model to a marked version so that it may better model earthquake aftershock sequences. We call this model the ‘Seismic Fractional Hawkes Process’ (SFHP). We then estimate parameters via maximum likelihood and provide evidence for these estimates being consistent and asymptotically normal via a simulation study. The SFHP is then compared to the epidemic type aftershock sequence and FHP models on four aftershock sequences from Southern California and New Zealand. While it is inconclusive if the seismic fractional Hawkes process performs better in a retrospective predictive performance experiment, it does perform favourably against both models in terms of information criteria and residual diagnostics especially when the aftershock clustering is stronger.