Scalable Bayesian inference for time series via divide-and-conquer

Bayesian computation often scales poorly with increasing data size, motivating developments such as divide-and-conquer approaches for scalable inference. These methods partition the data into subsets, perform parallel inference on each subset, and aggregate the results into a single posterior. Appealing theoretical properties and practical performance have been demonstrated for independent data; however, methods for dependent data remain challenging. Existing methods rely on ad hoc approximations with limited theoretical guarantees that lead to potentially poor accuracy in practice. Here, we focus on time-series data and propose a simple, scalable divide-and-conquer method for dependent time series, with theoretically rigorous accuracy guarantees. Simulation studies and real-data examples are used to empirically verify the effectiveness of our approach. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.