A novel Bayesian inference based training method for time series forecasting

Bayesian inference shows that future event distribution not only depends on the past events (prior), but also depends on the relation between the past and the future events (likelihood). However, the classical Bayesian methods do not consider the important contributions of recent data.In this paper, we propose a new Bayesian inference based training method, which can be used as on-line training for Bayesian methods. We give the training methods for the exponential and the normal models. We successfully apply this method for the seismic parameter prediction using the data of central Italy from years 2014 to 2017. Comparisons on disscuss section in this work show our method is more effective than the other Bayesian methods.