Methods and systems are disclosed for learning a regression decision graph model using a Bayesian model selection approach. In a disclosed aspect, the model structure and/or model parameters can be learned using a greedy search algorithm applied to grow the model so long as the model improves. This approach enables construction of a decision graph having a model structure that includes a plurality of leaves, at least one of which includes a non-trivial linear regression. The resulting model thus can be employed for forecasting, such as for time series data, which can include single or multi-step forecasting.