Time Series Analysis for the State-Space Model with R/Stan / / by Junichiro Hagiwara
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| Autore: |
Hagiwara Junichiro
|
| Titolo: |
Time Series Analysis for the State-Space Model with R/Stan / / by Junichiro Hagiwara
|
| Pubblicazione: | Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2021 |
| Edizione: | 1st ed. 2021. |
| Descrizione fisica: | 1 online resource (350 pages) |
| Disciplina: | 519.55 |
| Soggetto topico: | Statistics |
| Mathematical statistics - Data processing | |
| Econometrics | |
| Macroeconomics | |
| Applied Statistics | |
| Statistics and Computing | |
| Bayesian Inference | |
| Statistical Theory and Methods | |
| Quantitative Economics | |
| Macroeconomics and Monetary Economics | |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. . |
| Titolo autorizzato: | Time Series Analysis for the State-Space Model with R |
| ISBN: | 9789811607110 |
| 9811607117 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910495161903321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |