An Efficient Approach to Graphical Modeling of Time Series

DOI10.1109/TSP.2015.2422679MaRDI QIDQ4580643zbMATHFDO

Authors R. J. Wolstenholme, A. T. Walden

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.01955

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09)

Abstract: A method for selecting a graphical model for $p$-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 $p.$ A high degree of sparsity is not assumed. We show that reformulation in terms of a multiple hypothesis test reduces computation time by $O(p^2)$ 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.

Cited in

(10)

• Dynamic chain graph models for time series network data
• Time-like Graphical Models
• Analysis of air quality time series of Hong Kong with graphical modeling
• Graphical models for nonstationary time series
• Learning Graphical Models for Stationary Time Series
• Learning local directed acyclic graphs based on multivariate time series data
• Graphical Techniques for Selecting Explanatory Variables for Time Series Data
• Time series graphical Lasso and sparse VAR estimation
• Constructing brain connectivity group graphs from EEG time series
• Minimising entropy changes in dynamic network evolution

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