Fig. 1.

Graph representing the generative model $m$: The sequence of observations $y_{1:T}$ is represented as the plate over $T$ pairs of hidden variables $x_{1:T}$ ($x_0$ denotes the initial condition of the hidden-states). $\phi$ and $\theta$ are unknown parameters of the observation and evolution function. $u_{1:T}$ is an exogenous input. $\sigma$ (resp. $\alpha$) is the precision (inverse variance) of the unknown measurement-noise ${\epsilon }_t$ (resp. unknown state-noise ${\eta }_t$).