Varational Wishart Approximation for Monoscale Graphical Model Selection
The MATLAB code package implements the variational Wishart approximation algorithm to learn monoscale graphical models as described in the following paper:
H. Yu, L. Xin, J. Dauwels, “Variational Wishart Approximation for Graphical Model Selection: Monoscale and Multiscale Models”, IEEE Transactions on Signal Processing, vol. 67, no. 24, pp. 6468 – 6482, 2019.
The main script is test.m. To test your own datasets, please replace XDat in artidata500_4p_2p.mat by your own datasets. Note that XDat is a nxp matrix, where n is the sample size and p is the dimension.