Victor Elvira: Graph discovery and Bayesian filtering in state-space models
From Belle Taylor
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Modeling and inference in multivariate time series is central in statistics, signal processing, and machine learning, with applications in social network analysis, biomedical, and finance, to name a few. The linear-Gaussian state-space model is a common way to describe a time series through the evolution of a hidden state, with the advantage of presenting a simple inference procedure due to the celebrated Kalman filter.
A fundamental question when analyzing multivariate sequences is the search for relationships between their entries (or the modeled hidden states), especially when the inherent structure is a directed (causal) graph. In such context, graphical modeling combined with parsimony constraints allows to limit the proliferation of parameters and enables a compact data representation which is easier to interpret. We propose a novel expectation-maximization algorithm for estimating the linear matrix operator in the state equation of a linear-Gaussian state-space model.