Joint Estimation of Multiple Graphical Models from High Dimensional Time Series

DOI10.1111/rssb.12123zbMath1414.62379arXiv1311.0219OpenAlexW1754350508WikidataQ38632228 ScholiaQ38632228MaRDI QIDQ5378365

Fang Han, Huitong Qiu, Han Liu, Brian S. Caffo

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0219

zbMATH Keywords

rate of convergencetime seriesconditional independencehigh dimensional datagraphical model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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