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Joint Estimation of Multiple Graphical Models from High Dimensional Time Series.


ABSTRACT: In this manuscript we consider the problem of jointly estimating multiple graphical models in high dimensions. We assume that the data are collected from n subjects, each of which consists of T possibly dependent observations. The graphical models of subjects vary, but are assumed to change smoothly corresponding to a measure of closeness between subjects. We propose a kernel based method for jointly estimating all graphical models. Theoretically, under a double asymptotic framework, where both (T, n) and the dimension d can increase, we provide the explicit rate of convergence in parameter estimation. It characterizes the strength one can borrow across different individuals and the impact of data dependence on parameter estimation. Empirically, experiments on both synthetic and real resting state functional magnetic resonance imaging (rs-fMRI) data illustrate the effectiveness of the proposed method.

SUBMITTER: Qiu H 

PROVIDER: S-EPMC4767508 | biostudies-literature | 2016 Mar

REPOSITORIES: biostudies-literature

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Joint Estimation of Multiple Graphical Models from High Dimensional Time Series.

Qiu Huitong H   Han Fang F   Liu Han H   Caffo Brian B  

Journal of the Royal Statistical Society. Series B, Statistical methodology 20150706 2


In this manuscript we consider the problem of jointly estimating multiple graphical models in high dimensions. We assume that the data are collected from <i>n</i> subjects, each of which consists of <i>T</i> possibly dependent observations. The graphical models of subjects vary, but are assumed to change smoothly corresponding to a measure of closeness between subjects. We propose a kernel based method for jointly estimating all graphical models. Theoretically, under a double asymptotic framewor  ...[more]

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