Machine Learning for Finance: How To Implement Bayesian Regression with Python

Wikipedia: "In statistics, Bayesian linear regression is an approach to linear regression in which the statistical analysis is undertaken within the context of Bayesian inference. When the regression model has errors that have a normal distribution, and if a particular form of the prior distribution is assumed, explicit results are available for the posterior probability distributions of the model's parameters." The most common interpretation of Bayes' formula in finance is the diachronic interpretation. This mainly states that over time we learn new information about certain variables or parameters of interest, like the mean return of a time series. Here, H stands for an event, the hypothesis, and D represents the data an experiment or the real world might present.