Decaying Bayesian Updating for Non-stationary Time Series Models

In the past, I have both written and spoken about the significant role multi-armed bandits have played in my career . One significant takeaway from my experience so far is the non- stationarity inherent in the realy world. Human behavior, especially online, is constantly shifting and changing in ways that many naive statistical models are not built to handle. There are, of course, many approaches…