On constrained estimation of graphical time series models

DOI10.1016/j.csda.2018.01.019zbMath1469.62172OpenAlexW2793315045MaRDI QIDQ1662855

T. P. Yuen, Heung Wong, Ka-Fai Cedric Yiu

Publication date: 20 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.01.019

zbMATH Keywords

optimizationestimationtime seriesair pollutiongraphical models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Random Forest Variable Selection for Sparse Vector Autoregressive Models ⋮ Time series graphical Lasso and sparse VAR estimation ⋮ Structural learning of contemporaneous dependencies in graphical VAR models

Uses Software

• SeDuMi
• SDPT3
• glasso
• MIM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Solving semidefinite-quadratic-linear programs using SDPT3
• Sparse inverse covariance estimation with the graphical lasso
• Two-step adaptive model selection for vector autoregressive processes
• Graphical modelling of multivariate time series
• Subset selection for vector autoregressive processes using Lasso
• Markov fields and log-linear interaction models for contingency tables
• Estimating the dimension of a model
• Biconvex sets and optimization with biconvex functions: a survey and extensions
• Determinant Maximization with Linear Matrix Inequality Constraints
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Model Selection and Estimation in Regression with Grouped Variables
• Covariance selection for nonchordal graphs via chordal embedding
• Graphical interaction models for multivariate time series.

This page was built for publication: On constrained estimation of graphical time series models