Empirical Bayesian learning in AR graphical models

DOI10.1016/J.AUTOMATICA.2019.108516MaRDI QIDQ2280924zbMATH OpenOpenAlexWikidataFDO

Authors Mattia Zorzi

Publication date 19 December 2019

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.03829

zbMATH Keywords

convex optimizationsparsityconvex relaxationempirical Bayesian learninglow-rank inducing priors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05) Probabilistic graphical models (62H22) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We address the problem of learning graphical models which correspond to high dimensional autoregressive stationary stochastic processes. A graphical model describes the conditional dependence relations among the components of a stochastic process and represents an important tool in many fields. We propose an empirical Bayes estimator of sparse autoregressive graphical models and latent-variable autoregressive graphical models. Numerical experiments show the benefit to take this Bayesian perspective for learning these types of graphical models.

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Cited in

(8)

• New reproducing kernel functions in the reproducing kernel Sobolev spaces
• Graphical models of autoregressive processes
• Adaptive regularised kernel-based identification method for large-scale systems with unknown order
• 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
• Support Recovery and Parameter Identification of Multivariate ARMA Systems with Exogenous Inputs

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