| Time Series Analysis for the State-Space Model with R/Stan 2021 Edition Contributor(s): Hagiwara, Junichiro (Author) |
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ISBN: 9811607109 ISBN-13: 9789811607103 Publisher: Springer OUR PRICE: $151.99 Product Type: Hardcover Published: August 2021 |
| Additional Information |
| BISAC Categories: - Computers | Mathematical & Statistical Software - Mathematics | Probability & Statistics - Bayesian Analysis - Business & Economics | Econometrics |
| Physical Information: 0.81" H x 6.14" W x 9.21" (1.51 lbs) 347 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: This book provides a comprehensive and concrete illustration of time series analysis focusing on the state-space model, which has recently attracted increasing attention in a broad range of fields. The major feature of the book lies in its consistent Bayesian treatment regarding whole combinations of batch and sequential solutions for linear Gaussian and general state-space models: MCMC and Kalman/particle filter. The reader is given insight on flexible modeling in modern time series analysis. The main topics of the book deal with the state-space model, covering extensively, from introductory and exploratory methods to the latest advanced topics such as real-time structural change detection. Additionally, a practical exercise using R/Stan based on real data promotes understanding and enhances the reader's analytical capability. |