Three people have died in a string of incidents in Melbourne that police believe could be linked.

Just after midnight on Thursday, police were called to Kew following reports a man had been stabbed.

Watch the video above

He was taken to hospital from the scene near Cotham Road and Queen Street but died and is yet to be formally identified.

Nearby, in Walton Street, police shot a man dead while trying to arrest him.

He has not yet been identified.

Police are now looking into whether another two incidents are linked to the shooting.

Police continue to investigate. Credit: 7NEWS

At about 10.40pm on Wednesday, an unknown man approached a Protective Services Officer at Jolimont Railway Station.

It’s understood the man spoke to the PSO before assaulting him with an edged weapon and fleeing the scene on foot.

The PSO was taken to hospital with cuts to his upper body.

Shortly after, at 11.20pm, two women were located in a vehicle in Hawthorn with what appeared to be life-threatening stab wounds.

The women were taken to hospital where one died and the other remains in a critical condition.

“Investigators are working to establish the exact circumstances surrounding the three incidents in order to determine if they are linked,” Victoria Police said in a statement.

More on 7NEWS.com.au

Police are not looking for anyone else in relation to the incidents and there is no risk to community safety.

At this stage, police are not searching for anyone else in relation to the incidents and there is not believed to be any ongoing risk to community safety.

Investigations continue.