Bayesian Estimation and Forecasting of Time Series in statsmodels
Chad Fulton · Proceedings of the Python in Science Conferences · 2022
Statsmodels, a Python library for statistical and econometric analysis, has traditionally focused on frequentist inference, including in its models for time series data.This paper introduces the powerful features for Bayesian inference of time series models that exist in statsmodels, with applications to model fitting, forecasting, time series decomposition, data simulation, and impulse response functions.