Bayesian Inference of State Space Models
Title | Bayesian Inference of State Space Models PDF eBook |
Author | Kostas Triantafyllopoulos |
Publisher | Springer Nature |
Pages | 503 |
Release | 2021-11-12 |
Genre | Mathematics |
ISBN | 303076124X |
Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. 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.
Bayesian State Space Representation Model
Title | Bayesian State Space Representation Model PDF eBook |
Author | Hiroshi Morita |
Publisher | |
Pages | |
Release | 2018 |
Genre | |
ISBN |
Time Series Analysis by State Space Methods
Title | Time Series Analysis by State Space Methods PDF eBook |
Author | James Durbin |
Publisher | Oxford University Press |
Pages | 369 |
Release | 2012-05-03 |
Genre | Business & Economics |
ISBN | 019964117X |
This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.
Bayesian State Space Modeling of Heterogeneous Multivariate Longitudinal Data
Title | Bayesian State Space Modeling of Heterogeneous Multivariate Longitudinal Data PDF eBook |
Author | Hector Lemus |
Publisher | |
Pages | 292 |
Release | 2006 |
Genre | |
ISBN |
Probabilistic Boolean Networks
Title | Probabilistic Boolean Networks PDF eBook |
Author | Ilya Shmulevich |
Publisher | SIAM |
Pages | 276 |
Release | 2010-01-21 |
Genre | Mathematics |
ISBN | 0898716926 |
The first comprehensive treatment of probabilistic Boolean networks, unifying different strands of current research and addressing emerging issues.
Partially Observed Markov Decision Processes
Title | Partially Observed Markov Decision Processes PDF eBook |
Author | Vikram Krishnamurthy |
Publisher | Cambridge University Press |
Pages | 491 |
Release | 2016-03-21 |
Genre | Mathematics |
ISBN | 1107134609 |
This book covers formulation, algorithms, and structural results of partially observed Markov decision processes, whilst linking theory to real-world applications in controlled sensing. Computations are kept to a minimum, enabling students and researchers in engineering, operations research, and economics to understand the methods and determine the structure of their optimal solution.
Bayesian state-space modeling of age-structured data
Title | Bayesian state-space modeling of age-structured data PDF eBook |
Author | R.B. MILLAR |
Publisher | |
Pages | |
Release | 2000 |
Genre | |
ISBN |