mgm (version 1.2-14)

mgm-package: Estimating Time-Varying k-order Mixed Graphical Models

Description

Estimation of time-varying Mixed Graphical models and mixed VAR models via elastic-net regularized neighborhood regression.

Author

Jonas Haslbeck

Maintainer: <[e-mail]>

References

Haslbeck, J. M. B., & Waldorp, L. J. (2020). mgm: Estimating time-varying Mixed Graphical Models in high-dimensional Data. Journal of Statistical Software, 93(8), pp. 1-46. DOI: 10.18637/jss.v093.i08

Loh, P. L., & Wainwright, M. J. (2013). Structure estimation for discrete graphical models: Generalized covariance matrices and their inverses. The Annals of Statistics, 41(6), 3022-3049.

Yang, E., Baker, Y., Ravikumar, P., Allen, G., & Liu, Z. (2014). Mixed graphical models via exponential families. In Proceedings of the Seventeenth International Conference on Artificial Intelligence and Statistics (pp. 1042-1050).