AR Identification of Latent-Variable Graphical Models

DOI10.1109/TAC.2015.2491678MaRDI QIDQ2980382zbMATH OpenOpenAlexFDO

Authors Mattia Zorzi, Rodolphe Sepulchre

Publication date 3 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.0027

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Detection theory in information and communication theory (94A13) Identification in stochastic control theory (93E12)

Abstract: The paper proposes an identification procedure for autoregressive gaussian stationary stochastic processes wherein the manifest (or observed) variables are mostly related through a limited number of latent (or hidden) variables. The method exploits the sparse plus low-rank decomposition of the inverse of the manifest spectral density and the efficient convex relaxations recently proposed for such decomposition.

Cited in

(18)

• Identification of low rank vector processes
• Sparse plus low rank network identification: a nonparametric approach
• Finite time identification in unstable linear systems
• Empirical Bayesian learning in AR graphical models
• First-order methods for nonnegative trigonometric matrix polynomials
• Topology identification under spatially correlated noise
• An interpretation of the dual problem of the THREE-like approaches
• Discrete-time negative imaginary systems
• Matrix spectral factorization for SA4 multiwavelet
• Identifiability of directed Gaussian graphical models with one latent source
• An alternating minimization algorithm for factor analysis.
• Graphical model selection for a particular class of continuous-time processes.
• Generalized maximum entropy based identification of graphical ARMA models
• Autoregressive identification of Kronecker graphical models
• Sparse plus low-rank identification for dynamical latent-variable graphical AR models
• Probabilistic reduced-dimensional vector autoregressive modeling with oblique projections
• Nonparametric identification of Kronecker networks
• Support Recovery and Parameter Identification of Multivariate ARMA Systems with Exogenous Inputs

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