Online Bayesian system identification in multivariate autoregressive models via message passing

• URL: http://arxiv.org/abs/2506.02710v1
• Date: Tue, 03 Jun 2025 10:06:29 GMT
• Title: Online Bayesian system identification in multivariate autoregressive models via message passing
• Authors: T. N. Nisslbeck, Wouter M. Kouw,
• Abstract summary: Our method produces full posterior distributions for both the autoregressive coefficients and noise precision.<n>We demonstrate convergence empirically on a synthetic autoregressive system and competitive performance on a double mass-spring-damper system.
• Score: 3.4069627091757178
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We propose a recursive Bayesian estimation procedure for multivariate autoregressive models with exogenous inputs based on message passing in a factor graph. Unlike recursive least-squares, our method produces full posterior distributions for both the autoregressive coefficients and noise precision. The uncertainties regarding these estimates propagate into the uncertainties on predictions for future system outputs, and support online model evidence calculations. We demonstrate convergence empirically on a synthetic autoregressive system and competitive performance on a double mass-spring-damper system.

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