2010
DOI: 10.1007/s10994-010-5180-0
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Time varying undirected graphs

Abstract: Undirected graphs are often used to describe high dimensional distributions. Under sparsity conditions, the graph can be estimated using 1 penalization methods. However, current methods assume that the data are independent and identically distributed. If the distribution, and hence the graph, evolves over time then the data are not longer identically distributed. In this paper we develop a nonparametric method for estimating time varying graphical structure for multivariate Gaussian distributions using an 1 re… Show more

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Cited by 196 publications
(253 citation statements)
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References 9 publications
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“…6, a time interval-dependent kernel was applied to weight every sample in D with respect to t*, which are subsequently treated as reweighed iid samples from G t* for estimating G t* . It can be shown that if {X t } are continuous valued and follow a time-varying graphical Gaussian model (GGM), and when the precision matrix ⌰ of the GGM is assumed to be smoothly evolving, this scheme can consistently recover the (value of) ⌰ t* corresponding to every G t* in the limit (6). However, another important type of consistency known as model-selection consistency, or pattern consistency, which concerns the identification of nonzero elements of ⌰ t* , and hence directly leads to recovery of the topology E t* of graph G t* , is not available.…”
Section: Problem Formulationmentioning
confidence: 99%
See 3 more Smart Citations
“…6, a time interval-dependent kernel was applied to weight every sample in D with respect to t*, which are subsequently treated as reweighed iid samples from G t* for estimating G t* . It can be shown that if {X t } are continuous valued and follow a time-varying graphical Gaussian model (GGM), and when the precision matrix ⌰ of the GGM is assumed to be smoothly evolving, this scheme can consistently recover the (value of) ⌰ t* corresponding to every G t* in the limit (6). However, another important type of consistency known as model-selection consistency, or pattern consistency, which concerns the identification of nonzero elements of ⌰ t* , and hence directly leads to recovery of the topology E t* of graph G t* , is not available.…”
Section: Problem Formulationmentioning
confidence: 99%
“…It is noteworthy that in ref. 6, the smooth evolution assumption is used as a precondition to guarantee value consistency of the ⌰ t* estimator, rather than being treated as an explicitly tunable constraint that can be used to accommodate real data. Therefore, in cases where more turbulent dynamics (e.g., sudden jumps) drives graph evolution, this method may run into difficulties.…”
Section: Problem Formulationmentioning
confidence: 99%
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“…b) Learning time-varying graphical models: Several methods have focussed on inferring time-varying interactions based on the assumption that interaction networks change slowly over time [40], [22], [23]. Song et.…”
Section: Introductionmentioning
confidence: 99%