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Title:

On the Lasso for Graphical Continuous Lyapunov Models

Document type:
Konferenzbeitrag
Author(s):
Dettling, Philipp; Drton, Mathias; Kolar, Mladen
Pages contribution:
514-550
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 that the observations are 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...     »
Keywords:
Graphical models, ℓ1-regularization, Lyapunov equation, support recovery
Dewey Decimal Classification:
510 Mathematik
Editor:
MLResearchPress
Book / Congress title:
Proceedings of Machine Learning Research
Congress (additional information):
Third Conference on Causal Learning and Reasoning
Volume:
236
Date of congress:
April 1-3, 2024
Date of publication:
19.03.2024
Year:
2024
Quarter:
1. Quartal
Year / month:
2024-03
Month:
Mar
E-ISBN:
2640-3498
Language:
en
Publication format:
WWW
WWW:
Proceedings of Machine Learning Research
Semester:
WS 23-24
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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