Time Series (Chapman & Hall/CRC Texts in Statistical Science)

Science & Math

West, Mike

Prado, Raquel

Ferreira, Marco A.R.

Mathematics

Chapman and Hall/CRC

Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.

Time Series: Modeling, Computation, and Inference (Chapman & Hall/CRC Texts in Statistical Science)

This is the second edition of a popular graduate level textbook on time series modeling, computation and inference. The book is essentially unique in its approach, with a focus on Bayesian methods, although classical methods are also covered. The second edition has been updated with an additional author, new references throughout, and new material on multivariate time series. There are also lots of new examples and exercises, and the computing has been greatly enhanced. Code, data, and other material are now made available on a supplementary website.

Time Series: Modeling, Computation, and Inference, Second Edition (Chapman & Hall/CRC Texts in Statistical Science)

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