TY  - BOOK
AU  - Hagiwara, Junichiro
TI  - Time series analysis for the state-space model with R/Stan
SN  - 9789811607134
U1  - 519.550243 
PY  - 2021///
CY  - Switzerland
PB  - Springer
KW  - Time Series Analysis
N2  - This book provides a comprehensive and concrete illustration of time series analysis focusing on the state-space model, which has recently attracted increasing attention in a broad range of fields. The major feature of the book lies in its consistent Bayesian treatment regarding whole combinations of batch and sequential solutions for linear Gaussian and general state-space models: MCMC and Kalman/particle filter. The reader is given insight on flexible modeling in modern time series analysis. The main topics of the book deal with the state-space model, covering extensively, from introductory and exploratory methods to the latest advanced topics such as real-time structural change detection. Additionally, a practical exercise using R/Stan based on real data promotes understanding and enhances the reader’s analytical capability.
ER  -