Fig. 17.

Short-term predictive power of the VB-Laplace approach: the double-well system: The figure compares the VB-Laplace approximation to the predictive density over hidden-states (bottom) with that obtained from MCMC sampling (top). Only the predictive density over the first hidden-state ($x_1$) is shown. Top-left: MCMC predictive density using the true parameters. Top-right: MCMC predictive density using the VB-Laplace estimates. The red arrows depict the burn-in period (before entering a quasi-stationary bimodal state).