Statistics Seminar - Prof. Victor Elvira (Univ. of Edinburgh)
| Dates: | 19 March 2025 |
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| Times: | 14:00 - 15:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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| Who is it for: | University staff, External researchers, Current University students |
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| Speaker: | Prof. Victor Elvira |
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State-space Models as Graphs
Prof. Victor Elvira
School of Mathematics, University of Edinburgh
Abstract: Modelling and inference in multivariate time series is central in statistics, signal processing, and machine learning. A fundamental question when analysing multivariate sequences is the search for relationships between their entries (or the modelled hidden states), especially when the inherent structure is a directed (causal) graph. In such context, graphical modelling combined with sparsity constraints allows to limit the proliferation of parameters and enables a compact data representation which is easier to interpret in applications, e.g., in inferring causal relationships of physical processes in a Granger sense. In this talk, we present a novel perspective consisting on state-space models being interpreted as graphs. Then, we propose novel algorithms that exploit this new perspective for the estimation of the linear matrix operator and also the covariance matrix in the state equation of a linear-Gaussian state-space model. Finally, we discuss the extension of this perspective for the estimation of other model parameters in more complicated models.
Speaker
Prof. Victor Elvira
Organisation: Univ. of Edinburgh
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Frank Adams 2
Alan Turing Building
Manchester
