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Learning graphical models for stationary time series

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2 Author(s)
F. R. Bach ; Comput. Sci. Div., Univ. of California, Berkeley, CA, USA ; M. I. Jordan

Probabilistic graphical models can be extended to time series by considering probabilistic dependencies between entire time series. For stationary Gaussian time series, the graphical model semantics can be expressed naturally in the frequency domain, leading to interesting families of structured time series models that are complementary to families defined in the time domain. In this paper, we present an algorithm to learn the structure from data for directed graphical models for stationary Gaussian time series. We describe an algorithm for efficient forecasting for stationary Gaussian time series whose spectral densities factorize in a graphical model. We also explore the relationships between graphical model structure and sparsity, comparing and contrasting the notions of sparsity in the time domain and the frequency domain. Finally, we show how to make use of Mercer kernels in this setting, allowing our ideas to be extended to nonlinear models.

Published in:

IEEE Transactions on Signal Processing  (Volume:52 ,  Issue: 8 )