Regularized Estimation of Piecewise Constant Gaussian Graphical Models: The Group-Fused Graphical Lasso

The time-evolving precision matrix of a piecewise-constant Gaussian graphical model encodes the dynamic conditional dependency structure of a multivariate time-series. Traditionally, graphical models are estimated under the assumption that data are drawn identically from a generating distribution. I...

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Veröffentlicht in:	Journal of computational and graphical statistics 2017-07, Vol.26 (3), p.623-634
Hauptverfasser:	Gibberd, Alexander J., Nelson, James D. B.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Changepoint Evolution High-dimensional M-estimator Normal distribution Sparsity Spatio-Temporal Data Studies Time series
Online-Zugang:	Volltext
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