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Identification and Estimation of Graphical Continuous Lyapunov Models | Prof. Mathias Drton, TU München

Teaser: 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 statistical models that are comprised of Gaussian distributions 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 determined by a directed graph. The talk will discuss identifiability of such sparse drift matrices as well as their regularized estimation.
Start date: 31.01.2023 - 16:00
End date: 31.01.2023 - 18:00
Address: Cartesium | Rotunde
Organisator: Prof. Dr. Vanessa Didelez, +49 (0)421 218-56-939
Preis: 0€