Maximum Entropy Expectation-Maximization Algorithm for Fitting Latent-Variable Graphical Models to Multivariate Time Series

Maximum Entropy Expectation-Maximization Algorithm for Fitting Latent-Variable Graphical Models to Multivariate Time Series

This work is focused on latent-variable graphical models for multivariate time series. We show how an algorithm which was originally used for finding zeros in the inverse of the covariance matrix can be generalized such that to identify the sparsity pattern of the inverse of spectral density matrix....

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Bibliographic Details
Main Authors: Saïd Maanan, Bogdan Dumitrescu, Ciprian Doru Giurcăneanu
Format: Article
Language:English
Published: MDPI AG 2018-01-01
Series:Entropy
Subjects:
maximum entropy
Expectation-Maximization
graphical models
autoregressive model
latent variables
information theoretic criteria
time series
Online Access:http://www.mdpi.com/1099-4300/20/1/76

Internet

http://www.mdpi.com/1099-4300/20/1/76

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