Estimating networks with jumps
From MaRDI portal
Publication:1950892
DOI10.1214/12-EJS739zbMATH Open1295.62032arXiv1012.3795WikidataQ41970427 ScholiaQ41970427MaRDI QIDQ1950892FDOQ1950892
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We study the problem of estimating a temporally varying coefficient and varying structure (VCVS) graphical model underlying nonstationary time series data, such as social states of interacting individuals or microarray expression profiles of gene networks, as opposed to i.i.d. data from an invariant model widely considered in current literature of structural estimation. In particular, we consider the scenario in which the model evolves in a piece-wise constant fashion. We propose a procedure that minimizes the so-called TESLA loss (i.e., temporally smoothed L1 regularized regression), which allows jointly estimating the partition boundaries of the VCVS model and the coefficient of the sparse precision matrix on each block of the partition. A highly scalable proximal gradient method is proposed to solve the resultant convex optimization problem; and the conditions for sparsistent estimation and the convergence rate of both the partition boundaries and the network structure are established for the first time for such estimators.
Full work available at URL: https://arxiv.org/abs/1012.3795
Recommendations
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of graph theory (05C90) Graphical methods in statistics (62A09) Social networks; opinion dynamics (91D30)
Cites Work
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- Graphical Models, Exponential Families, and Variational Inference
- Title not available (Why is that?)
- On the conditions used to prove oracle results for the Lasso
- High-dimensional graphs and variable selection with the Lasso
- Title not available (Why is that?)
- Title not available (Why is that?)
- Sparsity and Smoothness Via the Fused Lasso
- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
- Properties and refinements of the fused Lasso
- Smooth minimization of non-smooth functions
- Locally adaptive regression splines
- Sparse inverse covariance estimation with the graphical lasso
- Sparse permutation invariant covariance estimation
- Network exploration via the adaptive LASSO and SCAD penalties
- Regularized estimation of large covariance matrices
- Title not available (Why is that?)
- Gradient directed regularization for sparse Gaussian concentration graphs, with applications to inference of genetic networks
- Model selection and estimation in the Gaussian graphical model
- Estimating and Testing Linear Models with Multiple Structural Changes
- Partial Correlation Estimation by Joint Sparse Regression Models
- Multiple Change-Point Estimation With a Total Variation Penalty
- High-dimensional Ising model selection using \(\ell _{1}\)-regularized logistic regression
- Joint estimation of multiple graphical models
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- Local operator theory, random matrices and Banach spaces.
- Estimating time-varying networks
- Pairwise Variable Selection for High-Dimensional Model-Based Clustering
- Honest variable selection in linear and logistic regression models via \(\ell _{1}\) and \(\ell _{1}+\ell _{2}\) penalization
- Online learning for matrix factorization and sparse coding
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- An O(n) algorithm for quadratic knapsack problems
- Learning Oncogenic Pathways from Binary Genomic Instability Data
Cited In (22)
- A Unified Framework for Change Point Detection in High-Dimensional Linear Models
- Joint Gaussian graphical model estimation: a survey
- Title not available (Why is that?)
- Title not available (Why is that?)
- Total variation regularized Fréchet regression for metric-space valued data
- A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
- Title not available (Why is that?)
- Computation and analysis of change points with different jump locations in high-dimensional regression
- Estimating Time-Varying Graphical Models
- Title not available (Why is that?)
- Change-Point Detection for Graphical Models in the Presence of Missing Values
- Consistent multiple changepoint estimation with fused Gaussian graphical models
- A Covariate-Regulated Sparse Subspace Learning Model and Its Application to Process Monitoring and Fault Isolation
- Online Structural Change-Point Detection of High-dimensional Streaming Data via Dynamic Sparse Subspace Learning
- Dynamic Multivariate Functional Data Modeling via Sparse Subspace Learning
- Nonparametric inference for continuous-time event counting and link-based dynamic network models
- Sequential change-point detection in high-dimensional Gaussian graphical models
- Dynamic undirected graphical models for time-varying clinical symptom and neuroimaging networks
- Network Functional Varying Coefficient Model
- Title not available (Why is that?)
- Change-point analysis in financial networks
- Estimating a network from multiple noisy realizations
Uses Software
This page was built for publication: Estimating networks with jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950892)
