We consider the problem of inferring the conditional independence graph (CIG) of a high-dimensional stationary multivariate Gaussian time series. In a time series graph, each component of the vector series is represented by distinct node, and associations between components are represented by edges between the corresponding nodes. We formulate the problem as one of multi-attribute graph estimation for random vectors where a vector is associated with each node of the graph. At each node, the associated random vector consists of a time series component and its delayed copies. We present an alternating direction method of multipliers (ADMM) solution to minimize a sparse-group lasso penalized negative pseudo log-likelihood objective function to estimate the precision matrix of the random vector associated with the entire multi-attribute graph. The time series CIG is then inferred from the estimated precision matrix. A theoretical analysis is provided. Numerical results illustrate the proposed approach which outperforms existing frequency-domain approaches in correctly detecting the graph edges.
翻译:我们考虑的是高维定态多变量时间序列(CIG)的有条件独立图形(CIG)的推论问题。在时间序列图中,矢量序列的每个组成部分由不同的节点代表,各组成部分之间的关联由相应的节点之间的边缘代表。我们将问题作为随机矢量的多分配图估算问题,因为该矢量与图形的每个节点相关联。在每个节点,相关的随机矢量由时间序列组成部分及其延迟副本组成。我们提出了一个交替方向的乘数方法(ADMM)解决方案,以最大限度地减少对微小组的反伪对日志相似目标功能,以估计与整个多属性图相关的随机矢量的精确矩阵。然后从估计精确矩阵中推断出时间序列。提供了理论分析。数字结果说明了在正确检测图形边缘时,拟议的方法比现有频率-区域方法要强。