Message Passing-Based Inference for Time-Varying Autoregressive Models

Time-varying autoregressive (TVAR) models are widely used for modeling of non-stationary signals. Unfortunately, online joint adaptation of both states and parameters in these models remains a challenge. In this paper, we represent the TVAR model by a factor graph and solve the inference problem by...

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Bibliographic Details

Published in:	Entropy
Main Authors:	Albert Podusenko, Wouter M. Kouw, Bert de Vries
Format:	Article
Language:	English
Published:	MDPI AG 2021-05-01
Subjects:	Bayesian inference free energy factor graph hybrid message passing model selection non-stationary systems
Online Access:	https://www.mdpi.com/1099-4300/23/6/683