A Bayesian Approach to Sparse plus Low rank Network Identification
classification
🧮 math.OC
stat.ML
keywords
sparseapproachbayesianmodelplusrankconsiderdynamic
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We consider the problem of modeling multivariate time series with parsimonious dynamical models which can be represented as sparse dynamic Bayesian networks with few latent nodes. This structure translates into a sparse plus low rank model. In this paper, we propose a Gaussian regression approach to identify such a model.
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