Online Machine Learning for Graph Topology Identification from Multiple Time Series (2020)
Abstract / truncated to 115 words
High dimensional time series data are observed in many complex systems. In networked data, some of the time series are influenced by other time series. Identifying these relations encoded in a graph structure or topology among the time series is of paramount interest in certain applications since the identifi ed structure can provide insights about the underlying system and can assist in inference tasks. In practice, the underlying topology is usually sparse, that is, not all the participating time series influence each other. The goal of this dissertation pertains to study the problem of sparse topology identi fication under various settings. Topology identi fication from time series is a challenging task. The first major challenge ... toggle 7 keywordstopology identification – time series – regret analysis – vector autoregressive processes – estimation of sparse graphs – estimation of time-varying parameters – online algorithms
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