bayespy.nodes.VaryingGaussianMarkovChain

class bayespy.nodes.VaryingGaussianMarkovChain(mu, Lambda, B, S, nu, n=None, **kwargs)[source]

Node for Gaussian Markov chain random variables with time-varying dynamics.

The node models a sequence of Gaussian variables \mathbf{x}_0,\ldots,\mathbf{x}_{N-1} with linear Markovian dynamics. The time variability of the dynamics is obtained by modelling the state dynamics matrix as a linear combination of a set of matrices with time-varying linear combination weights. The graphical model can be presented as: