Topology selection in graphical models of autoregressive processes

MaRDI QIDQ2896161zbMATH OpenFDO

Authors Jitkomut Songsiri, Lieven Vandenberghe

Publication date 13 July 2012

Published in Journal of Machine Learning Research (JMLR) (Search for Journal in Brave)

Full work available at URL http://www.jmlr.org/papers/v11/songsiri10a.html

zbMATH Keywords

time seriesconvex optimizationtopology selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Convex programming (90C25) Applications of graph theory (05C90)

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Cited in

(10)

• Understanding large text corpora via sparse machine learning
• Graphical models of autoregressive processes
• Empirical Bayesian learning in AR graphical models
• On constrained estimation of graphical time series models
• Topology identification under spatially correlated noise
• A Bayesian approach to sparse dynamic network identification
• 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

Describes a project that uses

Uses Software

• NESTA

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