In this study, the Bayesian approach is proposed to estimate the noise variances of Kalman filter based statistical models for predicting the daily averaged PM10 concentrations of a typical coastal city, Macau, with Latitude 22°10'N and Longitude 113°34'E. By using the measurements in 2001 and 2002, the Bayesian approach is capable to estimate the most probable values of the noise variances in the Kalman filter based prediction models. It turns out that the estimated process noise variance of the time-varying autoregressive model with exogenous inputs, TVAREX, is significantly (̃76%) less than that of the time-varying autoregressive model of order 1, TVAR(1), since the TVAREX model incorporates important mechanisms which govern the daily averaged PM concentrations in Macau. By further using data between 2003 and 2005, the choice of the noise variances is shown to affect the model performance, measured by the root-mean-squared error, of the TVAR(ρ) model and the TVAREX model. In addition, the optimal estimates of noise variances obtained by Bayesian approach for both models are located in the region where the model performance is insensitive to the choice of noise variances. Furthermore, the Bayesian approach will be demonstrated to provide more reasonable estimates of noise variances compared to the noise variances found by simply minimizing the root-mean-squared prediction error of the model. By comparing the optimized TVAREX model and the TVAR(ρ) models in predicting the daily averaged PM10 concentrations between 2003 and 2005, it is found that the TVAREX model outperforms the TVAR(ρ) models in terms of the general performance and the episode capturing capability.