A Bayesian Approach to Sparse plus Low rank Network Identification

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Sep 26, 2015
Mattia Zorzi, Alessandro Chiuso
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We consider the problem of modeling multivariate time series with parsimonious dynamical models which can be represented as sparse dynamic Bayesian networks with few latent nodes. This structure translates into a sparse plus low rank model. In this paper, we propose a Gaussian regression approach to identify such a model.

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