Smoothness Priors Analysis Of Time Series
Download and Read Smoothness Priors Analysis Of Time Series full books in PDF, ePUB, and Kindle. Read online free Smoothness Priors Analysis Of Time Series ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Smoothness Priors Analysis of Time Series
Author | : Genshiro Kitagawa |
Publisher | : Springer Science & Business Media |
Total Pages | : 265 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461207614 |
Download Smoothness Priors Analysis of Time Series Book in PDF, Epub and Kindle
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.
Smoothness Priors Analysis of Time Series Related Books
Pages: 265
Pages: 391
Pages: 525
Pages: 262
Pages: 388