An efficient approach to graphical modeling of time series

22Citations
Citations of this article
32Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

A method for selecting a graphical model for p-vector-valued stationary Gaussian time series was recently proposed by Matsuda and uses the Kullback-Leibler divergence measure to define a test statistic. This statistic was used in a backward selection procedure, but the algorithm is prohibitively expensive for large p. A high degree of sparsity is not assumed. We show that reformulation in terms of a multiple hypothesis test reduces computation time by O(p 2) and simulations support the assertion that power levels are attained at least as good as those achieved by Matsuda's much slower approach. Moreover, the new scheme is readily parallelizable for even greater speed gains.

Cite

CITATION STYLE

APA

Wolstenholme, R. J., & Walden, A. T. (2015). An efficient approach to graphical modeling of time series. IEEE Transactions on Signal Processing, 63(12), 3266–3276. https://doi.org/10.1109/TSP.2015.2422679

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free