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Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series

Abstract: 

Learning the dynamics of complex systems features a large
number of applications in data science. Graph-based modeling
and inference underpins the most prominent family of
approaches to learn complex dynamics due to their ability to
capture the intrinsic sparsity of direct interactions in such systems.
They also provide the user with interpretable graphs
that unveil behavioral patterns and changes. To cope with
the time-varying nature of interactions, this paper develops
an estimation criterion and a solver to learn the parameters
of a time-varying vector autoregressive model supported on a
network of time series. The notion of local breakpoint is proposed
to accommodate changes at individual edges. It contrasts
with existing works, which assume that changes at all
nodes are aligned in time. Numerical experiments validate the
proposed schemes.

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Paper Details

Authors:
Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano
Submitted On:
11 December 2018 - 4:54am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Luis M. Lopez-Ramos
Paper Code:
https://arxiv.org/abs/1807.02013
Document Year:
2018
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[1] Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano, "Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/3841. Accessed: Jan. 16, 2019.
@article{3841-18,
url = {http://sigport.org/3841},
author = {Daniel Romero; Bakht Zaman; Baltasar Beferull-Lozano },
publisher = {IEEE SigPort},
title = {Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series},
year = {2018} }
TY - EJOUR
T1 - Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series
AU - Daniel Romero; Bakht Zaman; Baltasar Beferull-Lozano
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/3841
ER -
Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano. (2018). Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series. IEEE SigPort. http://sigport.org/3841
Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano, 2018. Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series. Available at: http://sigport.org/3841.
Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano. (2018). "Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series." Web.
1. Daniel Romero, Bakht Zaman, Baltasar Beferull-Lozano. Dynamic Network Identification From Non-stationary Vector Autoregressive Time Series [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/3841