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mgm: Estimating Time-Varying Mixed Graphical Models in High-Dimensional Data

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Haslbeck, Jonas M. B., Waldorp, Lourens J.·2020·Journal of Statistical Software

Abstract

We present the R package mgm for the estimation of k-order mixed graphical models (MGMs) and mixed vector autoregressive (mVAR) models in high-dimensional data. These are a useful extensions of graphical models for only one variable type, since data sets consisting of mixed types of variables (continuous, count, categorical) are ubiquitous. In addition, we allow to relax the stationarity assumption of both models by introducing time-varying versions of MGMs and mVAR models based on a kernel weighting approach. Time-varying models offer a rich description of temporally evolving systems and allow to identify external influences on the model structure such as the impact of interventions. We provide the background of all implemented methods and provide fully reproducible examples that illustrate how to use the package.

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Metadata

Authors
Haslbeck, J. M. B., & Waldorp, L. J.
Venue
Journal of Statistical Software
Published
2020
Volume
93
Issue
8
ISSN
1548-7660 (ISSN-L)
OpenAlex
W3019880418
Cited by
746
References
65
FWCI
23.96
Type
journal article
Language
en
Open access
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CoChat. (2026). Citation check: mgm: Estimating Time-Varying Mixed Graphical Models in High-Dimensional Data. https://app.cochat.ai/papers/10.18637/jss.v093.i08
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Haslbeck, J. M. B., & Waldorp, L. J. (2020). mgm: Estimating Time-Varying Mixed Graphical Models in High-Dimensional Data. Journal of Statistical Software. https://doi.org/10.18637/jss.v093.i08

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