Bayesian methodsBayesian / computational

Time Series Bayesian Inference

Time series Bayesian inference applies Bayes' theorem sequentially to time-ordered observations, maintaining a full probability distribution over hidden states and model parameters at every time step. This framework unifies state-space models, dynamic linear models, and particle filters, producing calibrated uncertainty for both filtering (real-time) and retrospective smoothing tasks.

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Sources

  1. West, M. & Harrison, J. (1997). Bayesian Forecasting and Dynamic Models (2nd ed.). Springer. ISBN: 978-0387947259
  2. Prado, R. & West, M. (2010). Time Series: Modeling, Computation, and Inference. CRC Press. ISBN: 978-1420093360

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Referenced by

ScholarGateTime series Bayesian inference (Bayesian Inference for Time Series Models). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/time-series-bayesian-inference