A message-passing algorithm performs exact online Bayesian updating of matrix normal Wishart posteriors for MARX models, with a derived predictive T-distribution that includes parameter uncertainty.
Recursive estimation of autoregressions,
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
background 1
citation-polarity summary
fields
eess.SP 1years
2025 1verdicts
CONDITIONAL 1roles
background 1polarities
unclear 1representative citing papers
citing papers explorer
-
Online Bayesian system identification in multivariate autoregressive models via message passing
A message-passing algorithm performs exact online Bayesian updating of matrix normal Wishart posteriors for MARX models, with a derived predictive T-distribution that includes parameter uncertainty.