NDLI: Natural order recovery for banded covariance models

Content Provider	IEEE Xplore Digital Library
Author	Rolfs, B.T. Rajaratnam, B.
Copyright Year	2012
Description	Author affiliation: Institute for Computational and Mathematical Engineering, Stanford University, CA 94305, USA (Rolfs, B.T.) \|\| Department of Statistics, Stanford University, CA 94305, USA (Rajaratnam, B.)
Abstract	Banded covariance models have recently received attention in the high dimensional covariance estimation literature. Banded inverse covariance models correspond to autoregressive processes and thus have a simple and intuitive interpretation, offering insight into underlying covariance structure. While a body of asymptotic results for banded estimators exists in the literature, these methods assume knowledge of a natural variable ordering. Although such an ordering may be known a priori, for example with time series data, in other settings it must be inferred before banding approaches can be applied. In this paper, we present a new method for recovering order of random variables based on Gaussian graphical modelling when the underlying inverse covariance matrices are banded or differentially banded. We demonstrate our algorithm on both synthetic and real data, and compare our results with the only other published order recovery method.
Starting Page	365
Ending Page	368
File Size	277311
Page Count	4
File Format	PDF
ISBN	9781467310703
ISSN	2151870X
e-ISBN	9781467310710
DOI	10.1109/SAM.2012.6250512
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-06-17
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Covariance matrix Mathematical model Random variables Graphical models Bandwidth Computational modeling Minimization order recovery Bandwidth minimization Gaussian graphical models generalized topological overlap measure high dimensional inference ℓ1 regularization
Content Type	Text
Resource Type	Article

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