Time Series Analysis for the State-Space Model with R/Stan

Authors: Hagiwara, Junichiro

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  • Provides a comprehensive and concrete illustration for the state-space model
  • Covers whole solutions through a consistent Bayesian approach: the batch method by MCMC using Stan and sequential ones by Kalman/particle filter using R
  • Presents advanced topics such as real-time structural change detection with the horseshoe prior
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  • ISBN 978-981-16-0711-0
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Hardcover $139.99
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  • ISBN 978-981-16-0710-3
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About this book

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.  

About the authors

Junichiro Hagiwara received the B.E., M.E., and Ph.D. degrees from Hokkaido University, Sapporo, Japan, in 1990, 1992, and 2016, respectively. He joined the Nippon Telegraph and Telephone Corporation in April 1992 and transferred to NTT Mobile Communications Network, Inc. (currently NTT DOCOMO, INC.) in July 1992. Later, he became involved in the research and development of mobile communication systems. His current research interests are in the application of stochastic theory to the communication domain. He is currently a visiting professor at Hokkaido University.

Table of contents (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook $109.00
price for USA in USD
  • ISBN 978-981-16-0711-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-981-16-0710-3
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Time Series Analysis for the State-Space Model with R/Stan
Authors
Copyright
2021
Publisher
Springer Singapore
Copyright Holder
Springer Nature Singapore Pte Ltd.
eBook ISBN
978-981-16-0711-0
DOI
10.1007/978-981-16-0711-0
Hardcover ISBN
978-981-16-0710-3
Edition Number
1
Number of Pages
XIII, 347
Number of Illustrations
216 b/w illustrations
Topics