ESTIMATING PRODUCT CANNIBALISATION IN WHOLESALE USING MULTIVARIATE HAWKES PROCESSES WITH INHIBITION

• 成果类型: Article
• 署名作者: Deutsch, Isabella; Ross, Gordon J.
• 署名单位: University of Edinburgh
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157
• DOI: 10.1214/24-AOAS1957
• 发表日期: 2025
• 页码: 235-260
• 关键词: bayesian-estimation; empirical-analysis; residual analysis; PROCESS MODELS; renewal; CHOICE; books

摘要

Product cannibalisation in the marketplace refers to the decrease in the sales of one product due to competition from another product. We examine this phenomenon in a wholesale data set provided by a major international company. We use a multivariate Hawkes process where each product is represented by a dimension, with cross-inhibition effects that model product cannibalisation. To implement the Hawkes process with inhibition, we resolve challenges regarding the integration of the intensity function and introduce a new, less restrictive condition for stability, as existing conditions are unnecessarily strict under inhibition. We conduct our analysis in a Bayesian framework for which we design a dimension-independent prior on the crossinhibition based on a reparametrisation.