  We propose a method for inferring the conditional indepen- dence graph (CIG)
of a high-dimensional discrete-time Gaus- sian vector random process from
finite-length observations. Our approach does not rely on a parametric model
(such as, e.g., an autoregressive model) for the vector random process; rather,
it only assumes certain spectral smoothness proper- ties. The proposed
inference scheme is compressive in that it works for sample sizes that are
(much) smaller than the number of scalar process components. We provide
analytical conditions for our method to correctly identify the CIG with high
probability.
