Topology selection in graphical models of autoregressive processes

zbMATH Open1242.62104MaRDI QIDQ2896161FDOQ2896161

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

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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)

Cited In (10)

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

Uses Software

• NESTA

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