Application of Bayesian Inference in Time Series Analysis

Abstract

Nowadays, the availability of huge computing facilities makes it easy to adopt a complex algorithm forvarious problem-solving. As a result, the Bayesian method of parameter estimation, which is based on Bayes’theorem given by Thomas Bayes, gains its popularity in recent times. Time series modeling and forecasting is animportant aspect of modeling. Model performance and forecasting accuracy can be improved largely using a Bayesianapproach. In this article, some basic knowledge about Bayesian inference in time series has been discussed.