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

Name: Time Series Analysis for the State-Space Model with R/Stan
Brand: Springer Nature
SKU: 9789811607110
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Springer Nature

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9789811607110

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New

Product 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 readers analytical capability.

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