Identifiability in Continuous Lyapunov Models

Abstract

SIAM Journal on Matrix Analysis and Applications, Volume 44, Issue 4, Page 1799-1821, December 2023.
Abstract. The recently introduced graphical continuous Lyapunov models provide a new approach to statistical modeling of correlated multivariate data. The models view each observation as a one-time cross-sectional snapshot of a multivariate dynamic process in equilibrium. The covariance matrix for the data is obtained by solving a continuous Lyapunov equation that is parametrized by the drift matrix of the dynamic process. In this context, different statistical models postulate different sparsity patterns in the drift matrix, and it becomes a crucial problem to clarify whether a given sparsity assumption allows one to uniquely recover the drift matrix parameters from the covariance matrix of the data. We study this identifiability problem by representing sparsity patterns by directed graphs. Our main result proves that the drift matrix is globally identifiable if and only if the graph for the sparsity pattern is simple (i.e., does not contain directed 2-cycles). Moreover, we present a necessary condition for generic identifiability and provide a computational classification of small graphs with up to 5 nodes.