Post-Regularization Inference for Time-Varying Nonparanormal Graphical Models

28 Dec 2015 Junwei Lu Mladen Kolar Han Liu

We propose a novel class of time-varying nonparanormal graphical models, which allows us to model high dimensional heavy-tailed systems and the evolution of their latent network structures. Under this model, we develop statistical tests for presence of edges both locally at a fixed index value and globally over a range of values... (read more)

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