Appendix 1 A Spectral Analysis and L TI-SDE

The chain structure is also convenient to handle streaming data as we will explain later. We first give a brief introduction to the EP and CEP framework. Step 2. We construct a tilted distribution to combine the true likelihood, Step 3. We project the tilted distribution back to the exponential family, q KL( null p nullq) where q belongs to the exponential family. Step 4. We update the approximation term by's in parallel, and uses damping to avoid divergence. The above computation are very conveniently to implement.