26 citations · 62 across the 6 of their papers we have counts for
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stat.ML2019
Efficient structure learning with automatic sparsity selection for causal graph processes
Théophile Griveau-Billion, Ben Calderhead
We propose a novel algorithm for efficiently computing a sparse directed adjacency matrix from a group of time series following a causal graph process. Our solution is scalable for…
q-fin.CP2019★ 3 cited
A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour
Théophile Griveau-Billion, Ben Calderhead
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised…