I am currently exploring Bayesian Neural Network application on timeseries and stumbled on pymc3 library. But don't exactly understand how can I use it on a timeseries data.
I am coming from a background of using statistical models:ARIMA, GARCH on timeseries.
To start I want to implement a simple Bayesian feed-forward neural network on a timeseries data.
What I am thinking to do is to set AR & MA values of a univariate timeseries as the priors for my model.Therefore analyze their distribution to build my posterior.
Could someone guide is it logical to start this way?