Bayesian Inference of State Space Models
Springer International Publishing (Verlag)
978-3-030-76126-4 (ISBN)
Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non-linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand, and the development of low-cost computational capabilities on the other, have resulted in a wealth of statistical methods aimed at parameter estimation and forecasting. This book brings together many of these methods, presenting an accessible and comprehensive introduction to state space models. A number of data sets from different disciplines are used to illustrate the methods and show how they are applied in practice. The R package BTSA, created for the book, includes many of the algorithms and examples presented. The book is essentially self-contained and includes a chapter summarising the prerequisites in undergraduate linear algebra, probability and statistics.
An up-to-date and complete account of state space methods, illustrated by real-life data sets and R code, this textbook will appeal to a wide range of students and scientists, notably in the disciplines of statistics, systems engineering, signal processing, data science, finance and econometrics. With numerous exercises in each chapter, and prerequisite knowledge conveniently recalled, it is suitable for upper undergraduate and graduate courses.
Kostas Triantafyllopoulos is a Senior Lecturer at the School of Mathematics and Statistics of the University of Sheffield. He holds a PhD in Statistics from the University of Warwick and prior to Sheffield worked as a Research Associate at the University of Bristol and as a Lecturer at the University of Newcastle upon Tyne. His research interests include Bayesian inference of time series models and statistical process control. He has published widely and is involved in research grants including the Nuffield Foundation, the NHS and the Engineering and Physical Sciences Research Council (UK). He has wide teaching experience in statistics and has supervised a number of doctoral students and postdoctoral fellows.
1 State Space Models.- 2 Matrix Algebra, Probability and Statistics.- 3 The Kalman Filter.- 4 Model Specification and Model Performance.- 5 Multivariate State Space Models.- 6 Non-linear and non-Gaussian State Space Models.- 7 The State Space Model in Finance.- 8 Dynamic Systems and Control.- References.- Index.
"The idea of this book is to bring together the mentioned models and make them available to a broad audience. The book is written from a statistician's perspective. It uses a number of data sets from a wide range of disciplines. ... It is aimed at students at the higher end of undergraduate or graduate level but also at scientists for self-study." (Wolfgang Näther, zbMATH 1480.62003, 2022)
“The idea of this book is to bring together the mentioned models and make them available to a broad audience. The book is written from a statistician’s perspective. It uses a number of data sets from a wide range of disciplines. … It is aimed at students at the higher end of undergraduate or graduate level but also at scientists for self-study.” (Wolfgang Näther, zbMATH 1480.62003, 2022)
| Erscheinungsdatum | 15.11.2022 |
|---|---|
| Reihe/Serie | Springer Texts in Statistics |
| Zusatzinfo | XV, 495 p. 87 illus., 33 illus. in color. |
| Verlagsort | Cham |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 777 g |
| Themenwelt | Mathematik / Informatik ► Informatik ► Theorie / Studium |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Schlagworte | Bayesian estimation • Bayesian forecasting • Control Theory • Dynamic Models • Financial Time Series • Non Gaussian time series • Sequential Monte Carlo • State space in dynamic systems • state space models • Stochastic volatility • Systems stability • Volatility Models |
| ISBN-10 | 3-030-76126-6 / 3030761266 |
| ISBN-13 | 978-3-030-76126-4 / 9783030761264 |
| Zustand | Neuware |
| Haben Sie eine Frage zum Produkt? |
aus dem Bereich
