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A Bayesian Approach to Sparse plus Low rank Network Identification

03/25/2015

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by Mattia Zorzi, et al.

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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.

Mattia Zorzi
9 publications
Alessandro Chiuso
12 publications

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