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Time Series Analysis for the State-Space Model with R/Stan

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Time Series Analysis for the State-Space Model with R/Stan/ by Junichiro Hagiwara.
作者:	Hagiwara, Junichiro.
面頁冊數:	XIII, 347 p. 216 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Macroeconomics/Monetary Economics//Financial Economics. -
電子資源:	https://doi.org/10.1007/978-981-16-0711-0
ISBN:	9789811607110

Time Series Analysis for the State-Space Model with R/Stan
Hagiwara, Junichiro.

Time Series Analysis for the State-Space Model with R/Stan[electronic resource] /by Junichiro Hagiwara. - 1st ed. 2021. - XIII, 347 p. 216 illus.online resource.

Introduction -- Fundamental of probability and statistics -- Fundamentals of handling time series data with R -- Quick tour of time series analysis -- State-space model -- State estimation in the state-space model -- Batch solution for linear Gaussian state-space model -- Sequential solution for linear Gaussian state-space model -- Introduction and analysis examples of a well-known component model -- Batch solution for general state-space model -- Sequential solution for general state-space model -- Example of applied analysis in general state-space model.

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. .

ISBN: 9789811607110

Standard No.: 10.1007/978-981-16-0711-0doiSubjects--Topical Terms:

1069052
Macroeconomics/Monetary Economics//Financial Economics.

LC Class. No.: QA276-280

Dewey Class. No.: 519.5

Time Series Analysis for the State-Space Model with R/Stan
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