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Synopsis
Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo "particle-path tracing" method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.
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Smoothness priors analysis of time series. Lecture notes in statistics ; 116
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Smoothness Priors Analysis of Time Series
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Springer, 1996
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ISBN 13 : 9780387948195
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Paperback. Etat : Very Good. Inscription; light sunning to covers, otherwise text clean and tight; Lecture Notes in Statistics; 9.23 X 6.15 X 0.61 inches; 280 pages. N° de réf. du vendeur 223552
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Smoothness Priors Analysis of Time Series (Lecture Notes in Statistics, 116)
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Smoothness Priors Analysis of Time Series (Lecture Notes in Statistics, 116)
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Smoothness Priors Analysis of Time Series (Lecture Notes in Statistics, 116)
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Smoothness Priors Analysis of Time Series
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Springer New York Aug 1996, 1996
ISBN 10 : 0387948198
ISBN 13 : 9780387948195
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression 'smoothness priors' state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo 'particle-path tracing' method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures. 276 pp. Englisch. N° de réf. du vendeur 9780387948195
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Smoothness Priors Analysis of Time Series
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Springer New York, 1996
ISBN 10 : 0387948198
ISBN 13 : 9780387948195
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Kartoniert / Broschiert. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression smoothness priors state space point of view. Prior distributions on model . N° de réf. du vendeur 5912209
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Smoothness Priors Analysis of Time Series
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Springer-Verlag New York Inc., 1996
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ISBN 13 : 9780387948195
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Smoothness Priors Analysis of Time Series
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Smoothness Priors Analysis of Time Series
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Springer New York, Springer US Aug 1996, 1996
ISBN 10 : 0387948198
ISBN 13 : 9780387948195
Neuf
Taschenbuch
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Taschenbuch. Etat : Neu. Neuware -Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression 'smoothness priors' state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo 'particle-path tracing' method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 276 pp. Englisch. N° de réf. du vendeur 9780387948195
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