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

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

Hagiwara, Junichiro

Springer Verlag, Singapore

08/2021

347

Dura

Inglês

9789811607103

15 a 20 dias

711

Descrição não disponível.
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.
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Time Series Analysis;State-Space Model;Kalman Filter;MCMC;Particle Filter;Baysian Inference