Bayesian Regression Approach for Building and Stacking Predictive Models in Time Series Analytics. (arXiv:2201.02034v1 [stat.AP])

The paper describes the use of Bayesian regression for building time series
models and stacking different predictive models for time series. Using Bayesian
regression for time series modeling with nonlinear trend was analyzed. This
approach makes it possible to estimate an uncertainty of time series prediction
and calculate value at risk characteristics. A hierarchical model for time
series using Bayesian regression has been considered. In this approach, one set
of parameters is the same for all data samples, other parameters …

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