Conditional independence graphs for multivariate autoregressive models by convex optimization: Efficient algorithms

Said Maanan, Bogdan Dumitrescu, Ciprian Doru Giurcaneanu

Abstract: Highlights•Conditional independence graph of a vector autoregressive (VAR) process.•Efficient implementation of convex optimization algorithms for inferring the graph.•Derivation of renormalized maximum likelihood criterion for VAR-order selection.