Abstract: Many online-learning domains in artificial intelligence involve data with nonstationarities spanning a wide range of timescales. Heuristic approaches to nonstationarity include retraining models frequently with only the freshest data and using iterative gradient-based updating methods that implicitly discount older data. We propose an alternative approach based on Bayesian inference over $1/f$ noise. The method is cast as a Kalman filter that posits latent variables with various characteristic timescales and maintains a joint posterior over them. We also derive a variational approximation that tracks these variables independently. The variational method can be implemented as a drop-in optimizer for any neural network architecture, which works by decomposing each weight as a sum of subweights with different decay rates. We test these methods on two synthetic, online-learning tasks with environmental parameters varying across time according to $1/f$ noise. Baseline methods based on finite memory show a nonmonotonic relationship between memory horizon and performance, a signature of data going ``stale.'' The Bayesian and variational methods perform significantly better by leveraging all past data and performing appropriate inference at all timescales.