Sparse plus low-rank identification for dynamical latent-variable graphical AR models

DOI10.1016/J.AUTOMATICA.2023.111405MaRDI QIDQ6537356zbMATH OpenFDO

Authors Junyao You, Chengpu Yu

Publication date 14 May 2024

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.AUTOMATICA.2023.111405

zbMATH Keywords

graphical autoregressive modelslatent variablesSchur complementsparse plus low-rank optimization model

Mathematics Subject Classification ID

Convex programming (90C25) System identification (93B30)

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Cites work

• A Maximum Entropy Solution of the Covariance Extension Problem for Reciprocal Processes
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• AR Identification of Latent-Variable Graphical Models
• ARMA Identification of Graphical Models
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• Empirical Bayesian learning in AR graphical models
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• Generalized maximum entropy based identification of graphical ARMA models
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• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
• Latent variable graphical model selection via convex optimization
• Learning Latent Variable Dynamic Graphical Models by Confidence Sets Selection
• Modelling multiple time series via common factors
• Rank-Sparsity Incoherence for Matrix Decomposition
• Schur complements and statistics
• Sparse inverse covariance estimation with the graphical lasso
• The Circulant Rational Covariance Extension Problem: The Complete Solution
• Topology Learning of Linear Dynamical Systems With Latent Nodes Using Matrix Decomposition
• Topology selection in graphical models of autoregressive processes

Cited in

(1)

• Robust heterogeneity adjustment for Gaussian graphical model with latent variables

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