Bayesian joint state and parameter tracking in autoregressive models

Jun 08, 2020 L4DC 2020 readers: everyone
  • Abstract: We address the problem of online Bayesian state and parameter tracking in autoregressive (AR) models with time-varying process noise variance. The involved marginalization and expectation integrals cannot be analytically solved. Moreover, the online tracking constraint makes sampling and batch learning methods unsuitable for this problem. We propose a hybrid variational message passing algorithm that robustly tracks the time-varying dynamics of the latent states, AR coefficients and process noise variance. Since message passing in a factor graph is a highly modular inference approach, the proposed methods easily extend to other non-stationary dynamic modeling problems.
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