Learning conditional independence structure for high-dimensional uncorrelated vector processes

13 Sep 2016Nguyen Tran QuangAlexander Jung

We formulate and analyze a graphical model selection method for inferring the conditional independence graph of a high-dimensional nonstationary Gaussian random process (time series) from a finite-length observation. The observed process samples are assumed uncorrelated over time and having a time-varying marginal distribution... (read more)

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