Time Series

Time Series

Modeling, Computation, and Interface

Book - 2010
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Baker & Taylor
"Focusing on Bayesian approaches and computations using up-to-date 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 time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLABª code, and other material are available on the authors' websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas."--Publisher's description.

Taylor
& Francis Publishing

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 time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers.

The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites.

Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.



Book News
Coverage of several mainstream modeling approaches in time series is combined with recent developments in time series analysis in this text for a graduate course on Bayesian time series modeling and analysis. The text focuses mainly on time domain approaches, while also covering the frequency domain, and explores connections between the two. Models and analyses are developed using Bayesian approaches and tools including Markov chain and sequential Monte Carlo methods. Methods are illustrated with examples, case studies, and chapter problems in various application areas such as signal processing, biomedical studies, and finance. Some chapters include appendices on statistical and mathematical background. Data sets used in examples and exercises are available from a web site. The book can also be used as a handbook for researchers and practitioners. Readers should have background in statistical inference and some exposure to applied statistics and computation. Prado is affiliated with the University of California-Santa Cruz. West is affiliated with Duke University. Annotation ©2010 Book News, Inc., Portland, OR (booknews.com)

Publisher: Boca Raton : CRC Press, [2010]
Copyright Date: ©2010
ISBN: 9781420093360
Branch Call Number: 519.55 PRADO
Characteristics: xx, 353 pages : illustrations ; 25 cm
Additional Contributors: West, Mike 1959-

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