The high explanatory power of the first-order lag term of inflation in the inflation explanatory factor is that, on the one hand, the calculation of annual inflation indicators makes the inflation values of adjacent months cover the high correlation caused by the common price increase, and on the other hand, it also shows that people’s perception of inflation is high. Some adaptability is expected. Although there are many Bayesian models available, due to the limitation of high-dimensional characteristics of the economy, most of the current inflation forecasting researches focus on a variety of generalized naive Bayesian models. By summarizing and analyzing the structural characteristics, learning methods, and classification principles of different Bayesian models, this paper finds out the important factors that affect the performance of the models and provides a theoretical basis for further improving the performance of Bayesian inflation forecasting. In this paper, the empirical mode decomposition method is introduced into inflation forecasting, and EEMD has obvious advantages in dealing with nonstationary and nonlinear time series and can decompose the signal according to the time scale characteristics of the data itself. Decompose the original time series step by step to generate eigenmode functions with different time scales. It is divided into high-frequency sequence and low-frequency sequence. Use rolling method and iterative method to construct subsamples for the sample data in this sample interval, forecast the inflation rate of each subsample interval in the next 12 months, and then compare the predicted value with the actual value to obtain a certain constructive conclusion. The predicted value is relatively close to the real value, which has theoretical and practical significance, and the predicted results obtained have no obvious regularity, but the root mean square error can be kept within 60%. By comparing the predicted value and the actual value, it can be seen that the prediction effect of the EEMD model is better.