Estimation of time-varying mixed graphical models and time-varying mixed vector autoregressive (VAR) models

Description

Estimation of time-varying mixed graphical models and time-varyingmixed vector autoregressive (VAR) models using L1-constrained neighborhood regression.

Details

Author(s)

Jonas Haslbeck

Maintainer: <jonashaslbeck@gmail.com>

References

Haslbeck, J., & Waldorp, L. J. (2016). mgm: Structure estimation for time-varying mixed graphical models in high-dimensional data. arXiv preprint http://arxiv.org/abs/1510.06871v2.

Haslbeck, J., & Waldorp, L. J. (2015). Structure estimation for mixed graphical models in high-dimensional data. arXiv preprint arXiv:1510.05677.

Loh, P. L., & Wainwright, M. J. (2013). Structure estimation for discrete graphical models: Generalized covariance matrices and their inverses. The Annals of Statistics, 41(6), 3022-3049.

Yang, E., Baker, Y., Ravikumar, P., Allen, G., & Liu, Z. (2014). Mixed graphical models via exponential families. In Proceedings of the Seventeenth International Conference on Artificial Intelligence and Statistics (pp. 1042-1050).

Results