Network Granger causality with inherent grouping structure

MaRDI QIDQ5502127zbMATH OpenFDO

Authors Sumanta Basu, Ali Shojaie, George Michailidis

Publication date 17 August 2015

Full work available at URL https://arxiv.org/abs/1210.3711, http://jmlr.csail.mit.edu/papers/v16/basu15a.html

zbMATH Keywords

Granger causalitythresholdinggroup lassohigh-dimensional networkspanel vector autoregression model

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09)

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(22)

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• High-dimensional posterior consistency in Bayesian vector autoregressive models
• On consistency and sparsity for high-dimensional functional time series with application to autoregressions
• Stationary-sparse causality network learning
• Potential genes and pathways of neonatal sepsis based on functional gene set enrichment analyses
• Lasso Granger causal models: some strategies and their efficiency for gene expression regulatory networks
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• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Improving on transfer entropy-based network reconstruction using time-delays: approach and validation
• Joint learning of linear time-invariant dynamical systems
• Dynamic networks with multi-scale temporal structure
• Estimation of graphical models through structured norm minimization
• A unified framework for structured graph learning via spectral constraints

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