Bayesian estimation of decay parameters in Hawkes processes

Abstract

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’ 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.