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Titel:

Identifiability in Continuous Lyapunov Models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Dettling, Philippp; Homs, Roser; Améndola, Carlos; Drton, Mathias; Hansen, Niels Richard
Abstract:
The recently introduced graphical continuous Lyapunov models provide a new approach to statistical modeling of correlated multivariate data. The models view each observation as a one-time cross-sectional snapshot of a multivariate dynamic process in equilibrium. The covariance matrix for the data is obtained by solving a continuous Lyapunov equation that is parametrized by the drift matrix of the dynamic process. In this context, different statistical models postulate different sparsity patterns...     »
Stichworte:
identifiability; Lyapunov equation; graphical modeling
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
SIAM Journal on Matrix Analysis and Applications
Jahr:
2023
Band / Volume:
44
Jahr / Monat:
2023-12
Quartal:
4. Quartal
Monat:
Dec
Heft / Issue:
4
Seitenangaben Beitrag:
1799-1821
Sprache:
en
Volltext / DOI:
doi:10.1137/22m1520311
WWW:
SIAM
Verlag / Institution:
Society for Industrial & Applied Mathematics (SIAM)
E-ISSN:
0895-47981095-7162
Status:
Erstveröffentlichung
Publikationsdatum:
04.12.2023
Semester:
WS 23-24
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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