Smoothness Priors Analysis of Time Series

by Genshiro Kitagawa and Will Gersch

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 0387948198
• ISBN13: 9780387948195
• Release Date: August 1996
• Publisher: Springer
• Length: 280 Pages
• Weight: 0.87 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"