Extends VAR models to matrix-variate versions with online low- and high-dimensional algorithms for graph learning from matrix time series, including adaptive Lasso, homotopy methods, and periodic trend augmentation.
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Online Graph Topology Learning from Matrix-valued Time Series
Extends VAR models to matrix-variate versions with online low- and high-dimensional algorithms for graph learning from matrix time series, including adaptive Lasso, homotopy methods, and periodic trend augmentation.