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Titel:

On the Lasso for Graphical Continuous Lyapunov Models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Dettling, Philipp; Drton, Mathias; Kolar, Mladen
Abstract:
Graphical continuous Lyapunov models offer a new perspective on modeling causally interpretable dependence structure in multivariate data by treating each independent observation as a one-time cross-sectional snapshot of a temporal process. Specifically, the models assume the observations to be cross-sections of independent multivariate Ornstein-Uhlenbeck processes in equilibrium. The Gaussian equilibrium exists under a stability assumption on the drift matrix, and the equilibrium covariance mat...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Preprint
Jahr:
2022
Sprache:
en
Volltext / DOI:
doi:10.48550/ARXIV.2208.13572
Verlag / Institution:
arXiv
Status:
Preprint / submitted
Eingereicht (bei Zeitschrift):
29.08.2022
Semester:
SS 22
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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