Graphical continuous Lyapunov models
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Abstract: The linear Lyapunov equation of a covariance matrix parametrizes the equilibrium covariance matrix of a stochastic process. This parametrization can be interpreted as a new graphical model class, and we show how the model class behaves under marginalization and introduce a method for structure learning via -penalized loss minimization. Our proposed method is demonstrated to outperform alternative structure learning algorithms in a simulation study, and we illustrate its application for protein phosphorylation network reconstruction.
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