Identifiability in Continuous Lyapunov Models

DOI10.1137/22M1520311MaRDI QIDQ6183451zbMATH OpenOpenAlexFDO

Authors Roser Homs, Mathias Drton, Niels Richard Hansen, Carlos Enrique Améndola Cerón

Publication date 4 January 2024

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.03835

zbMATH Keywords

identifiabilityLyapunov equationgraphical modeling

Mathematics Subject Classification ID

Probabilistic graphical models (62H22) Algebraic statistics (62R01) Matrix equations and identities (15A24)

Abstract: The recently introduced graphical continuous Lyapunov models provide a new approach to statistical modeling of correlated multivariate data. The models view each observation as a one-time cross-sectional snapshot of a multivariate dynamic process in equilibrium. The covariance matrix for the data is obtained by solving a continuous Lyapunov equation that is parametrized by the drift matrix of the dynamic process. In this context, different statistical models postulate different sparsity patterns in the drift matrix, and it becomes a crucial problem to clarify whether a given sparsity assumption allows one to uniquely recover the drift matrix parameters from the covariance matrix of the data. We study this identifiability problem by representing sparsity patterns by directed graphs. Our main result proves that the drift matrix is globally identifiable if and only if the graph for the sparsity pattern is simple (i.e., does not contain directed two-cycles). Moreover, we present a necessary condition for generic identifiability and provide a computational classification of small graphs with up to 5 nodes.

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• Identifiability in interval censorship models
• Near-identifiability of dynamical systems

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