Causal networks based on the vector autoregressive (VAR) process are a promising statistical tool for modeling regulatory interactions in a cell. However, learning these networks is challenging due to the low sample size and high dimensionality of genomic data. Results: We present a novel and highly efficient approach to estimate a VAR network. This proceeds in two steps: (i) improved estimation of VAR regression coefficients using an analytic shrinkage approach, and (ii) subsequent model

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... ion by testing the associated partial correlations. In simulations this approach outperformed for small sample size all other considered approaches in terms of true discovery rate (number of correctly identified edges relative to the significant edges). Moreover, the analysis of expression time series data from Arabidopsis thaliana resulted in a biologically sensible network.