Bayesian Forecasting And Dynamic Models
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Bayesian Forecasting and Dynamic Models
Author | : Mike West,Jeff Harrison |
Publsiher | : Springer Science & Business Media |
Total Pages | : 720 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 9781475793659 |
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In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models, and their uses in Bayesian forecasting. The principles, models and methods of Bayesian forecasting have been developed extensively during the last twenty years. This devel opment has involved thorough investigation of mathematical and sta tistical aspects of forecasting models and related techniques. With this has come experience with application in a variety of areas in commercial and industrial, scientific and socio-economic fields. In deed much of the technical development has been driven by the needs of forecasting practitioners. As a result, there now exists a relatively complete statistical and mathematical framework, although much of this is either not properly documented or not easily accessible. Our primary goals in writing this book have been to present our view of this approach to modelling and forecasting, and to provide a rea sonably complete text for advanced university students and research workers. The text is primarily intended for advanced undergraduate and postgraduate students in statistics and mathematics. In line with this objective we present thorough discussion of mathematical and statistical features of Bayesian analyses of dynamic models, with illustrations, examples and exercises in each Chapter.
Bayesian Forecasting and Dynamic Models
Author | : Mike West,Jeff Harrison |
Publsiher | : Springer Science & Business Media |
Total Pages | : 682 |
Release | : 2006-05-02 |
Genre | : Mathematics |
ISBN | : 9780387227771 |
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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.
Bayesian Forecasting and Dynamic Models
Author | : Mike West,Jeff Harrison |
Publsiher | : Springer |
Total Pages | : 682 |
Release | : 1999-03-26 |
Genre | : Mathematics |
ISBN | : 9780387947259 |
Download Bayesian Forecasting and Dynamic Models Book in PDF, Epub and Kindle
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.
Dynamic Linear Models with R
Author | : Giovanni Petris,Sonia Petrone,Patrizia Campagnoli |
Publsiher | : Springer Science & Business Media |
Total Pages | : 258 |
Release | : 2009-06-12 |
Genre | : Mathematics |
ISBN | : 9780387772387 |
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State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
Bayesian Forecasting of Multinomial Time Series Through Conditionally Gaussian Dynamic Models
Author | : Claudia Cargnoni,Peter Müller,Mike West |
Publsiher | : Unknown |
Total Pages | : 54 |
Release | : 1995 |
Genre | : Bayesian statistical decision theory |
ISBN | : OCLC:34598413 |
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Applied Bayesian Forecasting and Time Series Analysis
Author | : Andy Pole,Mike West,Jeff Harrison |
Publsiher | : CRC Press |
Total Pages | : 432 |
Release | : 2018-10-08 |
Genre | : Business & Economics |
ISBN | : 9781482267433 |
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Practical in its approach, Applied Bayesian Forecasting and Time Series Analysis provides the theories, methods, and tools necessary for forecasting and the analysis of time series. The authors unify the concepts, model forms, and modeling requirements within the framework of the dynamic linear mode (DLM). They include a complete theoretical development of the DLM and illustrate each step with analysis of time series data. Using real data sets the authors: Explore diverse aspects of time series, including how to identify, structure, explain observed behavior, model structures and behaviors, and interpret analyses to make informed forecasts Illustrate concepts such as component decomposition, fundamental model forms including trends and cycles, and practical modeling requirements for routine change and unusual events Conduct all analyses in the BATS computer programs, furnishing online that program and the more than 50 data sets used in the text The result is a clear presentation of the Bayesian paradigm: quantified subjective judgements derived from selected models applied to time series observations. Accessible to undergraduates, this unique volume also offers complete guidelines valuable to researchers, practitioners, and advanced students in statistics, operations research, and engineering.
Time Series
Author | : Raquel Prado,Mike West |
Publsiher | : CRC Press |
Total Pages | : 375 |
Release | : 2010-05-21 |
Genre | : Mathematics |
ISBN | : 9781439882757 |
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Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian t
Bayesian Analysis of Linear Models
Author | : Broemeling |
Publsiher | : Routledge |
Total Pages | : 212 |
Release | : 2017-11-22 |
Genre | : Mathematics |
ISBN | : 9781351464475 |
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With Bayesian statistics rapidly becoming accepted as a way to solve applied statisticalproblems, the need for a comprehensive, up-to-date source on the latest advances in thisfield has arisen.Presenting the basic theory of a large variety of linear models from a Bayesian viewpoint,Bayesian Analysis of Linear Models fills this need. Plus, this definitive volume containssomething traditional-a review of Bayesian techniques and methods of estimation, hypothesis,testing, and forecasting as applied to the standard populations ... somethinginnovative-a new approach to mixed models and models not generally studied by statisticianssuch as linear dynamic systems and changing parameter models ... and somethingpractical-clear graphs, eary-to-understand examples, end-of-chapter problems, numerousreferences, and a distribution appendix.Comprehensible, unique, and in-depth, Bayesian Analysis of Linear Models is the definitivemonograph for statisticians, econometricians, and engineers. In addition, this text isideal for students in graduate-level courses such as linear models, econometrics, andBayesian inference.