Applied Bayesian Forecasting and Time Series Analysis

Andy Pole, Mike West (Duke University, Durham, North Carolina, USA), Jeff Harrison

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English

Chapman & Hall/CRC
01 September 1994

Probability & statistics; Maths for scientists; Maths for engineers

Practical in its approach, Applied Bayesian Forecasting and Time Series Analysis provides the theories, methods, and tools necessary for forecasting and the analysis of time series. The authors unify the concepts, model forms, and modeling requirements within the framework of the dynamic linear mode (DLM). They include a complete theoretical development of the DLM and illustrate each step with analysis of time series data. Using real data sets the authors:

Explore diverse aspects of time series, including how to identify, structure, explain observed behavior, model structures and behaviors, and interpret analyses to make informed forecasts Illustrate concepts such as component decomposition, fundamental model forms including trends and cycles, and practical modeling requirements for routine change and unusual events Conduct all analyses in the BATS computer programs, furnishing online that program and the more than 50 data sets used in the text The result is a clear presentation of the Bayesian paradigm: quantified subjective judgements derived from selected models applied to time series observations. Accessible to undergraduates, this unique volume also offers complete guidelines valuable to researchers, practitioners, and advanced students in statistics, operations research, and engineering.

By: Andy Pole, Mike West (Duke University, Durham, North Carolina, USA), Jeff Harrison
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm, Spine: 29mm
Weight: 960g
ISBN: 9780412044014
ISBN 10: 0412044013
Pages: 430
Publication Date: 01 September 1994
Audience: College/higher education , Professional and scholarly , Primary , Undergraduate
Format: Hardback
Publisher's Status: Active

Pole, Andy; West, Mike; Harrison, Jeff

Reviews for Applied Bayesian Forecasting and Time Series Analysis

This book has filled a significant gap in the market for statistical texts. It should move Bayesian techniques for time series analysis and forecasting into the standard repertoire of applied statisticians. I think that it is an excellent book, and recommend it, especially to those who are not already familiar with these ideas. -The Statistician