Corpus ID: 184486920

Efficient structure learning with automatic sparsity selection for causal graph processes

@article{GriveauBillion2019EfficientSL,
  title={Efficient structure learning with automatic sparsity selection for causal graph processes},
  author={Th{\'e}ophile Griveau-Billion and Ben Calderhead},
  journal={ArXiv},
  year={2019},
  volume={abs/1906.04479}
}
  • Théophile Griveau-Billion, Ben Calderhead
  • Published 2019
  • Mathematics, Computer Science
  • ArXiv
  • We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process. Our solution is scalable for both dense and sparse graphs and automatically selects the LASSO coefficient to obtain an appropriate number of edges in the adjacency matrix. Current state-of-the-art approaches rely on sparse-matrix-computation libraries to scale, and either avoid automatic selection of the LASSO penalty coefficient or rely on the… CONTINUE READING
    Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis

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