A Julia package devoted to the estimation of the connectivity parameter of a latent (non sparse) high dimensional graph. The data are assumed to come from a model with mean field interaction driven by the latent graph.
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Related articles :
- Chevallier, Löcherbach, Ost (2024) : Discrete time data modeled via a binary Markov Chain. This model is fully covered by the package.
- Delattre, Fournier (2016) and Liu (2020) : Continuous time data modeled via a Hawkes process (Liu (2020) extends the first paper by considering partial observation). This model is not covered by the package for now, but is expected to.
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Documentation : https://jucheval.github.io/MeanFieldGraph.jl/