11 search results - page 1 / 3 » Graphical Gaussian modelling of multivariate time series wit... |
JMLR
2010
14 years 1 months ago
2010
In time series analysis, inference about causeeffect relationships among multiple times series is commonly based on the concept of Granger causality, which exploits temporal struc...
ICML
2007
IEEE
15 years 7 months ago
2007
IEEE
We show how to apply the efficient Bayesian changepoint detection techniques of Fearnhead in the multivariate setting. We model the joint density of vector-valued observations usi...
JMLR
2010
14 years 1 months ago
2010
Many probabilistic models introduce strong dependencies between variables using a latent multivariate Gaussian distribution or a Gaussian process. We present a new Markov chain Mo...
ICASSP
2011
IEEE
13 years 10 months ago
2011
IEEE
Graphical models are useful for capturing interdependencies of statistical variables in various fields. Estimating parameters describing sparse graphical models of stationary mul...
JMLR
2010
14 years 1 months ago
2010
An algorithm is presented for topology selection in graphical models of autoregressive Gaussian time series. The graph topology of the model represents the sparsity pattern of the...