[ENH] Design of a Bayesian model interface for sktime and skpro

[meraldoantonio]

Is your feature request related to a problem? Please describe.
Not a problem per se, but we're planning to create a few Bayesian estimators in sktime and skpro.
Bayesian estimators uniquely integrate prior knowledge through prior distributions and update this knowledge based on observed data to form posterior distributions. To accommodate the distinctive workflow of Bayesian estimators, we propose designing a new BayesianEstimator class.

This issue relates to the following two PRs:

• The design on the enhancement proposals repo
• The development of BayesianLinearRegressor estimator on skpro, on which this template will be applied