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Bayesian Forecasting and Dynamic Models / Mike West, Jeff Harrison

Mention d'édition : Second edition, Corrected second printing, 1999Publication :New York : Springer-Verlag, 1997Description : 1 vol. (XIV-680 p.) ; 24 cmISBN : 978-0-387-94725-9.Sujet : Modèle dynamique ;Statistique bayésienne
Current location Call number Status Date due Barcode
Sophia Antipolis
R 005 D Sophia
EMS CEP/N 2007-536 Sur demande EMS00867D

Table of Contents : 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.

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