Bayesian Forecasting and Dynamic Models

By: Mike West, Jeff Harrison

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Hardcover | 26 March 1999 | Edition Number 2

At a Glance

Hardcover
700 Pages

Edition Type
Revised

Dimensions(cm)
24.77 x 16.51 x 3.81

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This text is concerned with Bayesian learning, inference and forecasting in dynamic environments. We describe the structure and theory of classes of dynamic models and their uses in forecasting and time series analysis. The principles, models and methods of Bayesian forecasting and time - ries analysis have been developed extensively during the last thirty years. Thisdevelopmenthasinvolvedthoroughinvestigationofmathematicaland statistical aspects of forecasting models and related techniques. With this has come experience with applications in a variety of areas in commercial, industrial, scienti?c, and socio-economic ?elds. Much of the technical - velopment has been driven by the needs of forecasting practitioners and applied researchers. As a result, there now exists a relatively complete statistical and mathematical framework, presented and illustrated here. In writing and revising this book, our primary goals have been to present a reasonably comprehensive view of Bayesian ideas and methods in m- elling and forecasting, particularly to provide a solid reference source for advanced university students and research workers.

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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
Table of Contents provided by Publisher. All Rights Reserved.

Bayesian Forecasting and Dynamic Models

At a Glance

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

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