Dynamic Linear Models with R (Use R!)

Dynamic Linear Models with R (Use R!)

Giovanni Petris


State area types have received super reputation in recent times in as disparate fields as engineering, economics, genetics and ecology. After a close advent to basic nation house versions, this e-book specializes in dynamic linear versions, emphasizing their Bayesian research. at any time when attainable it's proven how one can compute estimates and forecasts in closed shape; for extra complicated types, simulation strategies are used. a last bankruptcy covers smooth sequential Monte Carlo algorithms.

The ebook illustrates all of the primary steps had to use dynamic linear types in perform, utilizing R. Many specified examples in response to genuine info units are supplied to teach find out how to arrange a selected version, estimate its parameters, and use it for forecasting. all of the code utilized in the e-book is accessible online.

No previous wisdom of Bayesian statistics or time sequence research is needed, even supposing familiarity with simple data and R is assumed.

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