On sparse high-dimensional graphical model learning for dependent time series
Signal Processing(2022)
摘要
•Graphical models are a useful tool for analyzing multivariate data.•Learning graphical models of Gaussian random vectors has been extensively studied.•We discuss approaches for learning graphical models of dependent time series.•We provide estimation algorithm, theoretical analysis, and experimental results.
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关键词
Sparse graph learning,Graph estimation,Time series,Undirected graph,Inverse spectral density estimation
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