Identification and Estimation of Graphical Continuous Lyapunov Models
Event details
| Date | 06.12.2024 |
| Hour | 15:15 › 16:15 |
| Speaker | Mathias Drton, TU Munich |
| Location | |
| Category | Conferences - Seminars |
| Event Language | English |
Graphical continuous Lyapunov models offer a new perspective on modeling causally interpretable dependence structure in multivariate data by treating each independent observation as a one-time cross-sectional snapshot of a temporal process. Specifically, the models consider multivariate Ornstein-Uhlenbeck processes in equilibrium. This leads to Gaussian models in which the covariance matrix is determined by the continuous Lyapunov equation. In this setting, each graphical model assumes a sparse drift matrix with support defined by a directed graph.
The talk will discuss the identifiability of such sparse drift matrices and their regularized estimation.
Practical information
- Informed public
- Free
Organizer
- Rajita Chandak