Geodesic
Graphical model selection for a particular class of continuous-time processes
Kybernetika, Tome 55 (2019) no. 5, pp. 782-801 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Graphical models provide an undirected graph representation of relations between the components of a random vector. In the Gaussian case such an undirected graph is used to describe conditional independence relations among such components. In this paper, we consider a continuous-time Gaussian model which is accessible to observations only at time $T$. We introduce the concept of infinitesimal conditional independence for such a model. Then, we address the corresponding graphical model selection problem, i. e. the problem to estimate the graphical model from data. Finally, simulation studies are proposed to test the effectiveness of the graphical model selection procedure.
Graphical models provide an undirected graph representation of relations between the components of a random vector. In the Gaussian case such an undirected graph is used to describe conditional independence relations among such components. In this paper, we consider a continuous-time Gaussian model which is accessible to observations only at time $T$. We introduce the concept of infinitesimal conditional independence for such a model. Then, we address the corresponding graphical model selection problem, i. e. the problem to estimate the graphical model from data. Finally, simulation studies are proposed to test the effectiveness of the graphical model selection procedure.
DOI : 10.14736/kyb-2019-5-0782
Classification : 65K10, 93B30
Keywords: sparse inverse covariance selection; regularization; graphical models; entropy; optimization 
@article{10_14736_kyb_2019_5_0782,
     author = {Zorzi, Mattia},
     title = {Graphical model selection for a particular class of continuous-time processes},
     journal = {Kybernetika},
     pages = {782--801},
     year = {2019},
     volume = {55},
     number = {5},
     doi = {10.14736/kyb-2019-5-0782},
     mrnumber = {4055576},
     zbl = {07177916},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2019-5-0782/}
}
TY  - JOUR
AU  - Zorzi, Mattia
TI  - Graphical model selection for a particular class of continuous-time processes
JO  - Kybernetika
PY  - 2019
SP  - 782
EP  - 801
VL  - 55
IS  - 5
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2019-5-0782/
DO  - 10.14736/kyb-2019-5-0782
LA  - en
ID  - 10_14736_kyb_2019_5_0782
ER  - 
%0 Journal Article
%A Zorzi, Mattia
%T Graphical model selection for a particular class of continuous-time processes
%J Kybernetika
%D 2019
%P 782-801
%V 55
%N 5
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2019-5-0782/
%R 10.14736/kyb-2019-5-0782
%G en
%F 10_14736_kyb_2019_5_0782
Zorzi, Mattia. Graphical model selection for a particular class of continuous-time processes. Kybernetika, Tome 55 (2019) no. 5, pp. 782-801. doi: 10.14736/kyb-2019-5-0782

Cité par Sources :