Many important problems can be modeled as a system of interconnected
entities, where each entity is recording time-dependent observations or
measurements. In order to spot trends, detect anomalies, and interpret the
temporal dynamics of such data, it is essential to understand the relationships
between the different entities and how these relationships evolv
本文提出了一种基于稀疏差异先验的正则化 M - 估计方法,通过估计图和变化点结构相结合,探讨了多变量时序的时间变化精度矩阵的动态条件依赖结构,以及其应对于稀疏依赖结构或平滑演化图结构的需求。此外,方法的扩张能使得在多个系统的依赖关系中进行变化点的估计,并提出了一种高效算法用于对结构的估计,最后,对两个真实世界数据集的定性影响以及合理性进行研究。