New paper in the Journal of Computational and Graphical Statistics. Kudos to Beniamino Hadj-Amar for leading the work.
The model uncovers evolving connectivity patterns in multivariate signals by combining switching dynamics with sparse graphs.
www.tandfonline.com/doi/full/10....
Discrete Autoregressive Switching Processes with Cumulative Shrinkage Priors for Graphical Modeling of Time Series Data
We propose a flexible Bayesian approach for sparse Gaussian graphical modeling of multivariate time series. We account for temporal correlation in the data by assuming that observations are charact...
