Graphical continuous Lyapunov models

05/21/2020

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by   Gherardo Varando, et al.

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The linear Lyapunov equation of a covariance matrix parametrizes the equilibrium covariance matrix of a stochastic process. This parametrization can be interpreted as a new graphical model class, and we show how the model class behaves under marginalization and introduce a method for structure learning via ℓ_1-penalized loss minimization. Our proposed method is demonstrated to outperform alternative structure learning algorithms in a simulation study, and we illustrate its application for protein phosphorylation network reconstruction.