An Efficient Approach to Graphical Modeling of Time Series
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Publication:4580643
DOI10.1109/TSP.2015.2422679zbMATH Open1394.62126arXiv1502.01955MaRDI QIDQ4580643FDOQ4580643
Authors: R. J. Wolstenholme, A. T. Walden 
Publication date: 22 August 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Abstract: A method for selecting a graphical model for -vector-valued stationary Gaussian time series was recently proposed by Matsuda and uses the Kullback-Leibler divergence measure to define a test statistic. This statistic was used in a backward selection procedure, but the algorithm is prohibitively expensive for large A high degree of sparsity is not assumed. We show that reformulation in terms of a multiple hypothesis test reduces computation time by and simulations support the assertion that power levels are attained at least as good as those achieved by Matsuda's much slower approach. Moreover, the new scheme is readily parallelizable for even greater speed gains.
Full work available at URL: https://arxiv.org/abs/1502.01955
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09)
Cited In (10)
- Time-like Graphical Models
- Graphical models for nonstationary time series
- Dynamic chain graph models for time series network data
- Analysis of air quality time series of Hong Kong with graphical modeling
- Time series graphical Lasso and sparse VAR estimation
- Graphical Techniques for Selecting Explanatory Variables for Time Series Data
- Constructing brain connectivity group graphs from EEG time series
- Minimising Entropy Changes in Dynamic Network Evolution
- Learning Graphical Models for Stationary Time Series
- Learning local directed acyclic graphs based on multivariate time series data
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