Efficient structure learning with automatic sparsity selection for causal graph processes

11 Jun 2019Théophile Griveau-BillionBen Calderhead

We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process. Our solution is scalable for both dense and sparse graphs and automatically selects the LASSO coefficient to obtain an appropriate number of edges in the adjacency matrix... (read more)

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