J.K. Tugnait

Graphical Modeling Of High-Dimensional Time Series

2018 · 2018 52nd Asilomar Conference on Signals, Systems, and Computers

We consider the problem of inferring the conditional independence graph of a high-dimensional stationary multivariate real-valued Gaussian time series. A p-variate Gaussian time series graphical model associated with an undirected graph with p vertices is …