Time Series Analysis for the State-Space Model with R/Stan

By Junichiro Hagiwara

Book Overview

Provides a comprehensive and concrete illustration for the state-space model
Covers whole solutions through a consistent Bayesian approach: the batch method by MCMC using Stan and sequential ones by Kalman/particle filter using R
Presents advanced topics such as real-time structural change detection with the horseshoe prior

• Format: Paperback
• Language: English
• ISBN: 9811607133
• ISBN13: 9789811607134
• Release Date: September 2022
• Publisher: Springer
• Length: 347 Pages
• Weight: 1.12 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"