On constrained estimation of graphical time series models

DOI10.1016/J.CSDA.2018.01.019MaRDI QIDQ1662855zbMATH OpenOpenAlexFDO

Authors T. P. Yuen, Heung Wong, Ka Fai Cedric Yiu

Publication date 20 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2018.01.019

zbMATH Keywords

optimizationair pollutiontime seriesestimationgraphical models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Graphical models of autoregressive processes
• Graphical modelling of multivariate time series
• Structural learning of contemporaneous dependencies in graphical VAR models
• Constructing structural VAR models with conditional independence graphs
• Topology selection in graphical models of autoregressive processes

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• Determinant Maximization with Linear Matrix Inequality Constraints
• Estimating the dimension of a model
• Graphical interaction models for multivariate time series.
• Graphical modelling of multivariate time series
• Graphical models of autoregressive processes
• Markov fields and log-linear interaction models for contingency tables
• Model Selection and Estimation in Regression with Grouped Variables
• Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
• Models for dependent time series
• Solving semidefinite-quadratic-linear programs using SDPT3
• Sparse inverse covariance estimation with the graphical lasso
• Subset selection for vector autoregressive processes using Lasso
• Two-step adaptive model selection for vector autoregressive processes
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

Cited in

(6)

• Graphical models of autoregressive processes
• Multiple and multilevel graphical models
• Time series graphical Lasso and sparse VAR estimation
• Ordering policies for multi-item inventory systems with correlated demands
• Random Forest Variable Selection for Sparse Vector Autoregressive Models
• Structural learning of contemporaneous dependencies in graphical VAR models

Describes a project that uses

Uses Software

• MIM
• glasso
• SDPT3
• SeDuMi

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