Smoothness Priors Analysis of Time Series 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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Kitagawa, Genshiro/ Gersch, Will 作者

Springer Verlag

譯者

1996-8 出版日期

290 頁數

$ 168.37 價格

Pap

叢書系列

9780387948195 圖書編碼

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發表於2024-09-21

Smoothness Priors Analysis of Time Series 在線電子書 epub 下載 mobi 下載 pdf 下載 txt 下載 2024

Smoothness Priors Analysis of Time Series 在線電子書 epub 下載 pdf 下載 mobi 下載 txt 下載 2024

Smoothness Priors Analysis of Time Series 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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Smoothness Priors Analysis of Time Series 在線電子書 pdf 下載 txt下載 epub 下載 mobi 在線電子書下載

Smoothness Priors Analysis of Time Series 在線電子書圖書描述

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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