Factor Graph-Based Online Bayesian Identification and Component Evaluation for Multivariate Autoregressive Exogenous Input Models

Factor Graph-Based Online Bayesian Identification and Component Evaluation for Multivariate Autoregressive Exogenous Input Models

We present a Forney-style factor graph representation for the class of multivariate autoregressive models with exogenous inputs, and we propose an online Bayesian parameter-identification procedure based on message passing within this graph. We derive message-update rules for (1) a custom factor nod...

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Bibliographic Details
Main Authors: Tim N. Nisslbeck, Wouter M. Kouw
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Entropy
Subjects:
Bayesian inference
probabilistic graphical models
message passing
system identification
stochastic systems
autoregressive models
Online Access:https://www.mdpi.com/1099-4300/27/7/679
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