Bayesian Forecasting and Dynamic Models / Edition 2

Bayesian Forecasting and Dynamic Models / Edition 2

by Mike West, Jeff Harrison
     
 

ISBN-10: 0387947256

ISBN-13: 9780387947259

Pub. Date: 01/24/1997

Publisher: Springer New York

The second edition of this book includes revised, updated, and additional material on the structure, theory, and application of classes of dynamic models in Bayesian time series analysis and forecasting. In addition to wide ranging updates to central material, the second edition includes many more exercises and covers new topics at the research and application…  See more details below

Overview

The second edition of this book includes revised, updated, and additional material on the structure, theory, and application of classes of dynamic models in Bayesian time series analysis and forecasting. In addition to wide ranging updates to central material, the second edition includes many more exercises and covers new topics at the research and application frontiers of Bayesian forecastings.

Product Details

ISBN-13:
9780387947259
Publisher:
Springer New York
Publication date:
01/24/1997
Series:
Springer Series in Statistics
Edition description:
2nd ed. 1997. Corr. 2nd printing 1999
Pages:
682
Product dimensions:
6.14(w) x 9.21(h) x 0.36(d)

Table of Contents

Introduction.- Introduction to the DLM: The first-order polynomial model.- Introduction to the DLM: The regression DLM.- The Dynamic Linear Model.- Univariate Time Series DLM Theory.- Model Specification and Design.- Polynomial Trend Models.- Seasonal Models.- Regression, Autoregression, and Related Models.- Illustrations and Extensions of Standard DLMS.- Intervention and Monitoring.- Multi-Process Models.- Non-Linear Dynamic Models: Analytic and Numerical Approximations.- Exponential Family Dynamic Models.- Simulation-Based Methods in Dynamic Models.- Multivariate Modelling and Forecasting.- Distribution Theory and Linear Algebra. Bibliography.- Author Index.- Subject Index.

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