On constrained estimation of graphical time series models

DOI10.1016/J.CSDA.2018.01.019zbMATH Open1469.62172OpenAlexW2793315045MaRDI QIDQ1662855FDOQ1662855

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

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

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)

Cites Work

• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Solving semidefinite-quadratic-linear programs using SDPT3
• Title not available (Why is that?)
• Estimating the dimension of a model
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• Model Selection and Estimation in Regression with Grouped Variables
• Graphical interaction models for multivariate time series.
• Subset selection for vector autoregressive processes using Lasso
• Sparse inverse covariance estimation with the graphical lasso
• Title not available (Why is that?)
• Title not available (Why is that?)
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Graphical modelling of multivariate time series
• Covariance selection for nonchordal graphs via chordal embedding
• Markov fields and log-linear interaction models for contingency tables
• Determinant Maximization with Linear Matrix Inequality Constraints
• Two-step adaptive model selection for vector autoregressive processes
• Title not available (Why is that?)
• Biconvex sets and optimization with biconvex functions: a survey and extensions
• Graphical models of autoregressive processes
• Title not available (Why is that?)

Cited In (5)

• Graphical models of autoregressive processes
• Multiple and multilevel graphical models
• Time series graphical Lasso and sparse VAR estimation
• Random Forest Variable Selection for Sparse Vector Autoregressive Models
• Structural learning of contemporaneous dependencies in graphical VAR models

Uses Software

• SeDuMi
• SDPT3
• glasso
• MIM

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