{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,2]],"date-time":"2026-05-02T04:31:52Z","timestamp":1777696312452,"version":"3.51.4"},"reference-count":24,"publisher":"SAGE Publications","issue":"1","license":[{"start":{"date-parts":[[2023,1,30]],"date-time":"2023-01-30T00:00:00Z","timestamp":1675036800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IDA"],"published-print":{"date-parts":[[2023,1,30]]},"abstract":"<jats:p>Hawkes processes with exponential kernels are a ubiquitous tool for modeling and predicting event times. However, estimating their decay parameter is challenging, and there is a remarkable variability among decay parameter estimates. Moreover, this variability increases substantially in cases of a small number of realizations of the process or due to sudden changes to a system under study, for example, in the presence of exogenous shocks. In this work, we demonstrate that these estimation difficulties relate to the noisy, non-convex shape of the Hawkes process\u2019 log-likelihood as a function of the decay. To address uncertainty in the estimates, we propose to use a Bayesian approach to learn more about likely decay values. We show that our approach alleviates the decay estimation problem across a range of experiments with synthetic and real-world data. With our work, we support researchers and practitioners in their applications of Hawkes processes in general and in their interpretation of Hawkes process parameters in particular.<\/jats:p>","DOI":"10.3233\/ida-216283","type":"journal-article","created":{"date-parts":[[2023,1,31]],"date-time":"2023-01-31T11:14:01Z","timestamp":1675163641000},"page":"223-240","source":"Crossref","is-referenced-by-count":3,"title":["Bayesian estimation of decay parameters in Hawkes processes"],"prefix":"10.1177","volume":"27","author":[{"given":"Tiago","family":"Santos","sequence":"first","affiliation":[{"name":"Institute of Interactive Systems and Data Science, TU Graz, Graz, Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Florian","family":"Lemmerich","sequence":"additional","affiliation":[{"name":"Faculty of Computer Science and Mathematics, University of Passau, Passau, Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Denis","family":"Helic","sequence":"additional","affiliation":[{"name":"Institute of Interactive Systems and Data Science, TU Graz, Graz, Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","reference":[{"key":"10.3233\/IDA-216283_ref8","unstructured":"J. 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