Identifiability in Continuous Lyapunov Models

DOI10.1137/22M1520311arXiv2209.03835OpenAlexW4389311747MaRDI QIDQ6183451FDOQ6183451

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)

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.

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

Recommendations

• scientific article; zbMATH DE number 3891183
• Near-identifiability of dynamical systems
• scientific article; zbMATH DE number 3871115
• Identification of continuous-time linear dynamic stochastic systems
• Identification of finite-dimensional models of infinite-dimensional dynamical systems
• Input-output identifiability of continuous-time linear systems
• scientific article; zbMATH DE number 4074893
• scientific article; zbMATH DE number 221345
• Deterministic identification of dynamical systems
• Identifiability of uncontrolled nonlinear rational systems

zbMATH Keywords

identifiabilityLyapunov equationgraphical modeling

Mathematics Subject Classification ID

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

Cites Work

• Causation, prediction, and search
• Sums of squares in Macaulay2
• Title not available (Why is that?)
• Causality. Models, reasoning, and inference
• Elements of causal inference. Foundations and learning algorithms
• Global identifiability of linear structural equation models
• Half-trek criterion for generic identifiability of linear structural equation models
• Handbook of Graphical Models
• Title not available (Why is that?)
• The Fokker-Planck equation. Methods of solutions and applications.
• Analysis and synthesis of stability matrices
• Characterizations of classes of stable matrices.
• Algebraic statistics
• Algebraic problems in structural equation modeling
• Half-trek criterion for identifiability of latent variable models
• Generic identifiability of linear structural equation models by ancestor decomposition
• Identifying dynamical time series model parameters from equilibrium samples, with application to gene regulatory networks

Cited In (2)

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

This page was built for publication: Identifiability in Continuous Lyapunov Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6183451)